Understanding Index Option Returns

By Mark Broadie, Mikhail Chernov, Michael Johannes. 2009

289 citations recorded by the source corpus.

Subfields: Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/89083610535999bdccaab8d8e4602e9381ba201e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. V. Todorov
2. Tim Bollerslev
3. Peter F. Christoffersen
4. Alexi Savov
5. Kris Jacobs
6. Torben G. Andersen
7. Jens Carsten Jackwerth
8. George M. Constantinides

In Strategy and Management

1. Ruslan Goyenko
2. Tim Bollerslev
3. Peter F. Christoffersen
4. Kris Jacobs
5. Alexi Savov

Citations in the corpus

• Illiquidity Premia in the Equity Options Market (2018, background): “Broadie, Chernov, and Johannes (2009) and Duarte and Jones (2007) show that in a standard stochastic volatility model, the expected 2Black and Scholes (1973), Hull and White (1987), and Heston (1993) are classic examples of papers in this literature.”
• Tails, Fears and Risk Premia (2010, background): “This, of course, is also consistent with the well-known fact that out-of-the-money puts tend to be systematically “overpriced” when assessed by standard pricing models; see, e.g., the discussion in Bates (2010), Bondarenko (2003), Broadie et al. (2009), and Foresi and Wu (2005).”
• Estimation of Jump Tails (2011, background): “Along these lines, the seemingly high prices for close-to-expiration out-of-the-money puts observed in many options markets may also be seen as indirect evidence that investors demand a separate risk premium for jump tail events; see, e.g., Broadie et al. (2009).”
• Quadratic Variance Swap Models (2016, unknown): “Almost all studies assume either constant jump intensities (e.g., Eraker, Johannes, and Polson, 2003; Broadie, Chernov, and Johannes, 2007) or jumps in returns but not in variance (e.g., Pan, 2002; Broadie, Chernov, and Johannes, 2009).”
• Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model (2015, unknown): “Second, in finance, a voluminous literature on the joint properties of option prices and stock returns (see, e.g., Broadie, Chernov, and Johannes (2009)) has also suggested the need for models with timevarying nonlinearities.”
• The Puzzle of Index Option Returns (2013, background): “Broadie, Chernov, and Johannes (2009) used similar straddles plus spreads and suggested that a jump factor helps explaining the option portfolio returns.”