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Delta-Hedged Gains and the Negative Market Volatility Risk Premium · Study

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PreprintDelta-Hedged Gains and the Negative Market Volatility Risk Premium

Nikunj Kapadia2001

OA

Preprintgreen2001

Delta-Hedged Gains and the Negative Market Volatility Risk Premium

Nikunj Kapadia · Gurdip Bakshi

185 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Citations in this library

Stored only when both papers are in the corpus — 185 citations exist upstream.

References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1973Theory of Rational Option Pricing 1976Option pricing when underlying stock returns are discontinuous 1987Expected stock returns and volatility 1997Empirical Performance of Alternative Option Pricing Models 1994Implied Binomial Trees 2002The jump-risk premia implicit in options: evidence from an integrated time-series study

Cited by

2003Volatility Risk Premiums Embedded in Individual Equity Options 2008What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns?2008Robust Replication of Volatility Derivatives 2005Market Price of Variance Risk and Performance of Hedge Funds 2015A tale of two option markets: Pricing kernels and volatility risk 2011Stochastic Volatility in General Equilibrium 2008Computing the market price of volatility risk in the energy commodity markets 2010Differences in beliefs and currency risk premiums☆

Details

Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations185

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.2139/ssrn.267106

openalex_workW2106757932

Links

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