The jump-risk premia implicit in options: evidence from an integrated time-series study $

By Jun Pan. 2002

1,260 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/babef5b0f27284177eba7d0e7db481a6f34083d3

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Citations in the corpus

The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models (2004, background): “In both markets, the impact of jumps is most clearly seen in higher-moment departures from conditional normality, and the effect appears in drastically different prices for out-of-the-money options (see, e.g., Bakshi, Cao, and Chen (1997) or Pan (2002)).”
On the Role of Risk Premia in Volatility Forecasting (2007, methodology): “I rely on the estimates reported in Bates (2000), Eraker (2004), and Pan (2002) to come up with the risk-neutral parameter values.”
SV mixture models with application to S&P 500 index returns ☆ (2007, neutral): “Pan (2002) uses S&P 500 index option prices and returns data to assess some of the same models considered by Bates.”
Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility (2007, methodology): “Here we follow Pan (2002) by considering only options expiring at least after 15 days.”
Volatility Risk Premiums Embedded in Individual Equity Options (2003, background): “(Pan [2002], for example, shows that market volatility affects the intensity of jumps and thus the pricing of jump risk.”
Spectral GMM Estimation of Continuous-Time Processes (2003, neutral): “They too estimate a negative mean jump size and their jump frequency estimates are lower than those of Pan (2002) and very similar to ours.”
MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES (2011, background): “For example, the estimates of ηs (ηv ) in the four models are between 3.5 and 4.4 (2.9 and 4.8), whereas the estimate of ηs (ηv ) in Pan (2002) equals 3.6 (3.1).”
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling (2012, neutral): “( 2000 ) and Pan ( 2002 ) include jumps as in the Eraker et al.”
Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2004, background): “Liu, Longstaff and Pan (2002) show that an investor facing event risk is less willing to take leverage or short positions and acts as if some portion of their wealth has become illiquid.”
Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes (2004, positive): “…research is to analyze the properties of the risk premia on the jump component, the diffusion component, and the stochastic activity rates through an integrated analysis of the time series of both the option prices and the underlying spot prices along the lines of Eraker (2004) and Pan (2002).”
Empirical reverse engineering of the pricing kernel (2003, background): “15 13 The alternative strategies based on the characteristic function (Chacko and Viceira, 2003; Jiang and Knight, 2002; or Singleton, 2001), or GMM (Pan, 2002) are not applicable for at least one of the three reasons.”
A jump diffusion model for VIX volatility options and futures (2010, background): “As it is common in the literature (e.g., Pan 2002 ), we choose this volatility risk premium specification in order to preserve the affine structure of the process under the risk neutral probability measure.”
Variance Risk Premiums (2009, positive): “Bates (1996, 2000, 2003); Pan (2002); Jones (2003); and Eraker (2004) analyze variance risk premiums in conjunction with return risk premiums by estimating various parametric option pricing models with either Bayesian methods or efficient methods of moments.”