Volatility Risk Premiums Embedded in Individual Equity Options

By Gurdip Bakshi, Nikunj Kapadia. 2003

135 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/d04241dcc5f1c957894a1c97b747d8b2e68f7815

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Citations in the corpus

Bond Variance Risk Premia (2012, unknown): “Bakshi and Kapadia (2003) and Vedolin (2010) for example study the variance risk premia of individual stocks and Trolle and Schwartz (2009) investigate variance risk premia in commodity markets. (7)Joslin (2010) studies the variance risk premium using swap data and proposes a model that under certai”
Individual Stock-Option Prices and Credit Spreads (2008, unknown): “…information 1Evidence of priced jump and/or volatility risk is presented in, e.g., Ait-Sahalia, Wang and Yared (2001), Bakshi, Cao and Chen (1997), Bakshi and Kapadia (2003a, 2003b), Bakshi, Kapadia and Madan (2003), Bates (2003), Buraschi and Jackwerth (2001), Pan (2002), Topaloglou, Vladimirou…”
The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments (2010, background): “…2.1386 0.8125 1.6886 (0.99) (1.33) (1.68) ρ –0.7339 –0.7924 –0.7463 (11.29) (0.27) (14.11) γz –21.6082 –24.5863 –22.7105 The market price of variance risk has been found to be highly negative in several studies (e.g., Bakshi and Kapadia (2003a), Bondarenko (2004), and Carr and Wu (2009)).”
Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon (2006, background): “, Bakshi and Kapadia (2003a), Bollen and Whaley (2004), and Andersen et al.”
The Price of Correlation Risk: Evidence from Equity Options (2009, background): “Jiang and Tian show that the integral over a continuum of strikes in ( 5 ) can be approximated”
Gambling Preference and the New Year Effect of Assets with Lottery Features (2012, background): “The fact that implied volatility for OTM calls is higher than ATM calls is consistent with the smile behavior for individual equity options versus index options (Bakshi and Kapadia 2003).”
What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? (2010, unknown): “Variable RNSKEW is the risk-neutral skewness estimated following Bakshi, Kapadia, and Madan (2003).”
Modeling the Dynamics of Correlations Among Implied Volatilities (2015, background): “Stochastic volatility is one such risk factor, and as Bakshi and Kapadia (2003), Carr and Wu (2008), and others have shown, implied volatility is on average well above the underlying stock's realized volatility over the option's lifetime. The market price of volatility risk is positive.(8) Option pr”