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Analyzing volatility risk and risk premium in option contracts: A new theory

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Cited by:

  1. Qing Nie & Xin L. Brown & Baohui Liu & Maruf Morshed, 2024. "Uncertainties, Employment and the Zero Lower Bound," International Journal of Energy Economics and Policy, Econjournals, vol. 14(4), pages 305-316, July.
  2. Aït-Sahalia, Yacine & Li, Chenxu & Li, Chen Xu, 2021. "Closed-form implied volatility surfaces for stochastic volatility models with jumps," Journal of Econometrics, Elsevier, vol. 222(1), pages 364-392.
  3. José Valentim Machado Vicente & Jaqueline Terra Moura Marins, 2021. "A volatility smile-based uncertainty index," Annals of Finance, Springer, vol. 17(2), pages 231-246, June.
  4. Gagnon, Marie-Hélène & Power, Gabriel J. & Toupin, Dominique, 2023. "The sum of all fears: Forecasting international returns using option-implied risk measures," Journal of Banking & Finance, Elsevier, vol. 146(C).
  5. Geert Bekaert & Eric C. Engstrom & Nancy R. Xu, 2022. "The Time Variation in Risk Appetite and Uncertainty," Management Science, INFORMS, vol. 68(6), pages 3975-4004, June.
  6. Mehdi El Amrani & Antoine Jacquier & Claude Martini, 2019. "Dynamics of symmetric SSVI smiles and implied volatility bubbles," Papers 1909.10272, arXiv.org, revised Feb 2021.
  7. Tanha, Hassan & Dempsey, Michael, 2016. "The evolving dynamics of the Australian SPI 200 implied volatility surface," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 44-57.
  8. Pyun, Sungjune, 2019. "Variance risk in aggregate stock returns and time-varying return predictability," Journal of Financial Economics, Elsevier, vol. 132(1), pages 150-174.
  9. Marie-Hélène Gagnon & Gabriel Power & Dominique Toupin, 2018. "Forecasting International Index Returns using Option-implied Variables," Cahiers de recherche 1807, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
  10. Ammann, Manuel & Arnold, Marc & Straumann, Simon, 2023. "Pricing, issuance volume, and design of innovative securities: The role of investor information," Journal of Financial Intermediation, Elsevier, vol. 55(C).
  11. Shengli Chen & Zili Zhang, 2019. "Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism," Papers 1912.11059, arXiv.org.
  12. Jia, Xiaolan & Ruan, Xinfeng & Zhang, Jin E., 2023. "Carr and Wu’s (2020) framework in the oil ETF option market," Journal of Commodity Markets, Elsevier, vol. 31(C).
  13. Jarno Talponen, 2018. "Matching distributions: Recovery of implied physical densities from option prices," Papers 1803.03996, arXiv.org.
  14. Ma, Xiaohan & Samaniego, Roberto, 2020. "The macroeconomic impact of oil earnings uncertainty: New evidence from analyst forecasts," Energy Economics, Elsevier, vol. 90(C).
  15. Markellos, Raphael N. & Psychoyios, Dimitris, 2018. "Interest rate volatility and risk management: Evidence from CBOE Treasury options," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 190-202.
  16. Shi, Yukun & Stasinakis, Charalampos & Xu, Yaofei & Yan, Cheng, 2022. "Market co-movement between credit default swap curves and option volatility surfaces," International Review of Financial Analysis, Elsevier, vol. 82(C).
  17. Wu, Liuren, 2018. "Estimating risk-return relations with analysts price targets," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 183-197.
  18. Yu Feng, 2019. "Theory and Application of Model Risk Quantification," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2019, January-A.
  19. Hasan Dinçer & Serhat Yüksel & Fatih Pınarbaşı & Mehmet Ali Alhan, 2020. "Risky Financial Assets in Financial Integration and the Impacts of Derivatives on Banking Returns," World Scientific Book Chapters, in: Stéphane Goutte & Khaled Guesmi (ed.), Risk Factors and Contagion in Commodity Markets and Stocks Markets, chapter 6, pages 133-159, World Scientific Publishing Co. Pte. Ltd..
  20. Guidolin, Massimo & Wang, Kai, 2023. "The empirical performance of option implied volatility surface-driven optimal portfolios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 618(C).
  21. Braouezec, Yann, 2017. "How fundamental is the one-period trinomial model to European option pricing bounds. A new methodological approach," Finance Research Letters, Elsevier, vol. 21(C), pages 92-99.
  22. Mi‐Hsiu Chiang & Hsin‐Yu Chiu & Robin K. Chou, 2021. "Relevance of the disposition effect on the options market: New evidence," Financial Management, Financial Management Association International, vol. 50(1), pages 75-106, March.
  23. Yu Feng & Erik Schlogl, 2018. "Model Risk Measurement under Wasserstein Distance," Papers 1809.03641, arXiv.org, revised Mar 2019.
  24. Qi Zhao & Alexandra Chronopoulou, 2023. "Delta-hedging in fractional volatility models," Annals of Finance, Springer, vol. 19(1), pages 119-140, March.
  25. Shi, Yunkun & Stasinakis, Charalampos & Xu, Yaofei & Yan, Cheng & Zhang, Xuan, 2022. "Stock price default boundary: A Black-Cox model approach," International Review of Financial Analysis, Elsevier, vol. 83(C).
  26. Matthias Muck, 2022. "Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities," Review of Derivatives Research, Springer, vol. 25(3), pages 293-314, October.
  27. Philip Stahl, 2022. "Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index," Review of Derivatives Research, Springer, vol. 25(3), pages 315-339, October.
  28. Jiling Cao & Xinfeng Ruan & Wenjun Zhang, 2020. "Inferring information from the S&P 500, CBOE VIX, and CBOE SKEW indices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 945-973, June.
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