On the Nature of Jump Risk Premia

2019 ◽  
Author(s):  
Piotr Orłowski ◽  
Paul Georg Schneider ◽  
Fabio Trojani
Keyword(s):  
Risk Premia ◽  
Jump Risk

Conditional equity risk premia and realized variance jump risk

2014 ◽  
Vol 40 (2) ◽  
pp. 295-317 ◽  
Author(s):  
Zhanglong Wang ◽  
Kent Wang ◽  
Zheyao Pan
Keyword(s):  
Risk Premia ◽  
Realized Variance ◽  
Jump Risk ◽  
Equity Risk

Information Content of Adjusted Implied Volatility in the KOSPI 200 Index Options Market

2009 ◽  
Vol 17 (4) ◽  
pp. 75-103
Author(s):  
Byung Jin Kang ◽  
Sohyun Kang ◽  
Sun-Joong Yoon
Keyword(s):  
Implied Volatility ◽  
Risk Premia ◽  
Risk Averse ◽  
Options Market ◽  
Jump Risk ◽  
Index Options ◽  
Volatility Risk ◽  
Model Free ◽  
Volatility Model ◽  
Forecasting Errors

This study examines the forecasting ability of the adjusted implied volatility (AIV), which is suggested by Kang, Kim and Yoon (2009), using the horserace competition with historical volatility, model-free implied volatility, and BS implied volatility in the KOSPI 200 index options market. The adjusted implied volatility is applicable when investors are not risk averse or when underlying returns do not follow a normal distribution. This implies that AIV is consistent with the presence of risk premia for other risk such as volatility risk and jump risk. Using KOSPI 200 index options, it is shown that the AIV outperforms other volatility estimates in terms of the unbiasedness for future realized volatilities as well as the forecasting errors.

scholarly journals Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model

2005 ◽  
Author(s):  
Martijn Cremers ◽  
Joost Driessen ◽  
Pascal J. Maenhout ◽  
David Weinbaum
Keyword(s):  
Firm Value ◽  
Risk Premia ◽  
Credit Spreads ◽  
Jump Risk ◽  
Value Model

Time-varying jump risk premia in stock index futures returns

2011 ◽  
Vol 32 (7) ◽  
pp. 639-659 ◽  
Author(s):  
Wing Hong Chan ◽  
Liling Feng
Keyword(s):  
Risk Premia ◽  
Stock Index ◽  
Stock Index Futures ◽  
Time Varying ◽  
Jump Risk ◽  
Index Futures
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