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

  • Published:2016-04 Issue:1 Volume:120 Page:1-20
  • ISSN:0304-405X
  • Container-title:Journal of Financial Economics
  • language:en
  • Short-container-title:Journal of Financial Economics

Author:

Carr Peter,Wu Liuren

Funder

City University of New York

PSC

CUNY

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference54 articles.

1. The gamma vanna volga cost framework for constructing implied volatility curves. Unpublished working paper;Arslan,2009

2. An empirical analysis of the ross recovery theorem. Unpublished working paper;Audrino,2014

3. A risk-neutral stochastic volatility model;Avellaneda;International Journal of Theoretical and Applied Finance,1998

4. Cumulative prospect theory and the variance premium. Unpublished working paper;Baele,2014

5. Delta-hedged gains and the negative market volatility risk premium;Bakshi;Review of Financial Studies,2003

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