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Delta-Hedged Gains and the Negative Market Volatility Risk Premium

https://doi.org/10.1093/rfs/hhg002
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Numerical Integration of Stochastic Differential Equations
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Option pricing when underlying stock returns are discontinuous
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Expected stock returns and volatility
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A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
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The jump-risk premia implicit in options: evidence from an integrated time-series study
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The relation between implied and realized volatility
inferredcites →https://doi.org/10.1016/s0304-405x(99)00049-5openalex-snapshot
When is time continuous?
inferredcites →https://doi.org/10.1016/s0304-4076(03)00108-8openalex-snapshot
Alternative models for stock price dynamics
inferredcites →https://doi.org/10.1016/s0304-4076(99)00021-4openalex-snapshot
Post-'87 crash fears in the S&P 500 futures option market
inferredcites →https://doi.org/10.1088/1469-7688/2/2/303openalex-snapshot
Option pricing under regime switching
inferredcites →https://doi.org/10.1093/rfs/13.2.433openalex-snapshot
Recovering Risk Aversion from Option Prices and Realized Returns
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Do Call Prices and the Underlying Stock Always Move in the Same Direction?
inferredcites →https://doi.org/10.1093/rfs/13.3.585openalex-snapshot
A Closed-Form GARCH Option Valuation Model
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The Price of a Smile: Hedging and Spanning in Option Markets
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Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
inferredcites →https://doi.org/10.1093/rfs/6.2.327openalex-snapshot
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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Implied Volatility Functions: Empirical Tests
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Expected Option Returns
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An Empirical Investigation of Continuous‐Time Equity Return Models
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The Impact of Jumps in Volatility and Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1987.tb02568.xopenalex-snapshot
The Pricing of Options on Assets with Stochastic Volatilities
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05128.xopenalex-snapshot
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
inferredcites →https://doi.org/10.1111/j.1540-6261.1994.tb00079.xopenalex-snapshot
Implied Binomial Trees
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb05219.xopenalex-snapshot
Recovering Probability Distributions from Option Prices
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Empirical Performance of Alternative Option Pricing Models
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Theory of rational option pricing
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Theory of Rational Option Pricing
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Alternative Models for Stock Price Dynamics
inferredcites →https://doi.org/10.2139/ssrn.249764openalex-snapshot
The Impact of Jumps in Volatility and Returns
inferredcites →https://doi.org/10.2139/ssrn.257646openalex-snapshot
Alternative Models of Stock Prices Dynamics
inferredcites →https://doi.org/10.2307/1912775openalex-snapshot
Large Sample Properties of Generalized Method of Moments Estimators
inferredcites →https://doi.org/10.2307/2328253openalex-snapshot
The Pricing of Options on Assets with Stochastic Volatilities
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Overreactions in the Options Market
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Options Arbitrage in Imperfect Markets
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Post-'87 Crash Fears in S&P 500 Futures Options

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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inferred← citeshttps://doi.org/10.2139/ssrn.2668542openalex-extracted
Option Pricing Under Time-Varying Risk-Aversion with Applications to Risk Forecasting
inferred← citeshttps://doi.org/10.2139/ssrn.2670946openalex-extracted
Downside Variance Risk Premium
inferred← citeshttps://doi.org/10.2139/ssrn.2694825openalex-extracted
Divergence and the Price of Uncertainty
inferred← citeshttps://doi.org/10.2139/ssrn.2695569openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2696183openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2698267openalex-extracted
Option Return Predictability
inferred← citeshttps://doi.org/10.2139/ssrn.2725789openalex-extracted
Volatility Risk and Stock Return Predictability on Global Financial Crises
inferred← citeshttps://doi.org/10.2139/ssrn.2743574openalex-extracted
Factor-Based Investing
inferred← citeshttps://doi.org/10.2139/ssrn.2769927openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2779512openalex-extracted
Volatility Risk Premia in the G9 Currencies
inferred← citeshttps://doi.org/10.2139/ssrn.2789113openalex-extracted
Margin Requirements and Equity Option Returns
inferred← citeshttps://doi.org/10.2139/ssrn.2798181openalex-extracted
A Strange Disposition? Option Trading Based on Reference Prices
inferred← citeshttps://doi.org/10.2139/ssrn.2807556openalex-extracted
Write on the Money?
inferred← citeshttps://doi.org/10.2139/ssrn.2820252openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2831362openalex-extracted
Option Pricing Methods in the Late 19th Century
inferred← citeshttps://doi.org/10.2139/ssrn.2862657openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2871616openalex-extracted
Understanding and Trading the Term Structure of Volatility
inferred← citeshttps://doi.org/10.2139/ssrn.2872168openalex-extracted
Moneyness, Volatility, and the Cross-Section of Option Returns
inferred← citeshttps://doi.org/10.2139/ssrn.2892114openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2897968openalex-extracted
The impact of uncertainty shocks on the cross-section of returns
inferred← citeshttps://doi.org/10.2139/ssrn.2909163openalex-extracted
The Timing of Option Returns
inferred← citeshttps://doi.org/10.2139/ssrn.2909473openalex-extracted
Option Prices and Costly Short-Selling
inferred← citeshttps://doi.org/10.2139/ssrn.2934077openalex-extracted
Jump Variance Risk: Evidence from Option Valuation and Stock Returns
inferred← citeshttps://doi.org/10.2139/ssrn.2943958openalex-extracted
The Information Content of Corridor Implied Variances and Their Economic Difference in the DJX Options Market
inferred← citeshttps://doi.org/10.2139/ssrn.2958886openalex-extracted
Generating Options-Implied Probability Densities to Understand Oil Market Events
inferred← citeshttps://doi.org/10.2139/ssrn.2963506openalex-extracted
Time-Varying Uncertainty and Jump Intensities: Why Should Variance Jumps Be Different?
inferred← citeshttps://doi.org/10.2139/ssrn.296407openalex-extracted
Dynamic Derivative Strategies
inferred← citeshttps://doi.org/10.2139/ssrn.2969089openalex-extracted
A Factor Structure for Implied Volatility
inferred← citeshttps://doi.org/10.2139/ssrn.2986459openalex-extracted
A Test of Speculative Arbitrage: Is the Cross-section of Volatility Invariant?
inferred← citeshttps://doi.org/10.2139/ssrn.2993326openalex-extracted
The Greenspan Put
inferred← citeshttps://doi.org/10.2139/ssrn.3016462openalex-extracted
Demand for Lotteries: the Choice Between Stocks and Options
inferred← citeshttps://doi.org/10.2139/ssrn.301981openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3024086openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3031334openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3033242openalex-extracted
Forecasting the Distribution of Option Returns
inferred← citeshttps://doi.org/10.2139/ssrn.3048008openalex-extracted
Earnings Announcements as Wake-Up Calls
inferred← citeshttps://doi.org/10.2139/ssrn.3055982openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3064160openalex-extracted
Processing Time and the Speed of the Market Response to Earnings Announcements
inferred← citeshttps://doi.org/10.2139/ssrn.3075945openalex-extracted
Options Portfolio Selection
inferred← citeshttps://doi.org/10.2139/ssrn.3100265openalex-extracted
Are Volatility Expectations in Different Countries Interdependent? A Data-Driven Solution to Structural VAR Identification for Implied Equity Volatility Indices
inferred← citeshttps://doi.org/10.2139/ssrn.3112675openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.311580openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.313980openalex-extracted
Volatility Trade Design
inferred← citeshttps://doi.org/10.2139/ssrn.3141970openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3142985openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3151975openalex-extracted
The Crash Risk in Individual Stocks Embedded in Skewness Swap Returns
inferred← citeshttps://doi.org/10.2139/ssrn.3178263openalex-extracted
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