scholarly journals The Price of Correlation Risk: Evidence from Equity Options

2006 ◽  
Author(s):  
Joost Driessen ◽  
Pascal J. Maenhout ◽  
Grigory Vilkov
Keyword(s):  
Equity Options ◽  
Correlation Risk

scholarly journals The Price of Correlation Risk: Evidence from Equity Options

2009 ◽  
Vol 64 (3) ◽  
pp. 1377-1406 ◽  
Author(s):  
JOOST DRIESSEN ◽  
PASCAL J. MAENHOUT ◽  
GRIGORY VILKOV
Keyword(s):  
Equity Options ◽  
Correlation Risk

Jumps and the Correlation Risk Premium: Evidence from Equity Options

2019 ◽  
Author(s):  
Nicole Branger ◽  
René Marian Flacke ◽  
Frederik T. Middelhoff
Keyword(s):  
Risk Premium ◽  
Equity Options ◽  
Correlation Risk

The Profitability of Volatility Spread Trading on ASX Equity Options

2012 ◽  
Author(s):  
Binh Huu Do ◽  
Anthony Foster ◽  
Philip Gray
Keyword(s):  
Equity Options

Structured Finance and Correlation Risk

2019 ◽  
Author(s):  
Marc Chesney ◽  
Felix Fattinger ◽  
Nils Jonathan Krakow
Keyword(s):  
Structured Finance ◽  
Correlation Risk
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