Volatility Risk Premiums Embedded in Individual Equity Options

2003 ◽  
Vol 11 (1) ◽  
pp. 45-54 ◽  
Author(s):  
Gurdip Bakshi ◽  
Nikunj Kapadia
Keyword(s):  
Equity Options ◽  
Volatility Risk ◽  
Risk Premiums

Implied risk aversion and volatility risk premiums

2011 ◽  
Vol 22 (1) ◽  
pp. 59-70 ◽  
Author(s):  
Sun-Joong Yoon ◽  
Suk Joon Byun
Keyword(s):  
Risk Aversion ◽  
Volatility Risk ◽  
Risk Premiums

Indian equity options: Smile, risk premiums, and efficiency

2018 ◽  
Vol 39 (2) ◽  
pp. 150-163 ◽  
Author(s):  
Sonali Jain ◽  
Jayanth R. Varma ◽  
Sobhesh Kumar Agarwalla
Keyword(s):  
Equity Options ◽  
Risk Premiums

scholarly journals Stochastic Volatility in General Equilibrium

2011 ◽  
Vol 01 (04) ◽  
pp. 707-731 ◽  
Author(s):  
George Tauchen
Keyword(s):  
Stock Market ◽  
General Equilibrium ◽  
A Priori ◽  
Market Volatility ◽  
Elasticity Of Substitution ◽  
Stock Market Volatility ◽  
Volatility Risk ◽  
Risk Premiums ◽  
Volatility Asymmetry ◽  
Main Model

The connections between stock market volatility and returns are studied within the context of a general equilibrium framework. The framework rules out a priori any purely statistical relationship between volatility and returns by imposing uncorrelated innovations. The main model generates a two-factor structure for stock market volatility along with time-varying risk premiums on consumption and volatility risk. It also generates endogenously a dynamic leverage effect (volatility asymmetry), the sign of which depends upon the magnitudes of the risk aversion and the intertemporal elasticity of substitution parameters.

scholarly journals Non-Diversifiable Volatility Risk and Risk Premiums at Earnings Announcements

2014 ◽  
Vol 89 (5) ◽  
pp. 1579-1607 ◽  
Author(s):  
Mary E. Barth ◽  
Eric C. So
Keyword(s):  
Risk Premium ◽  
Earnings Announcements ◽  
Return Volatility ◽  
Volatility Risk ◽  
Risk Premiums ◽  
Market Return ◽  
Predictable Variation ◽  
Jel Classifications

ABSTRACT This study seeks to determine whether earnings announcements pose non-diversifiable volatility risk that commands a risk premium. We find that investors anticipate some earnings announcements to convey news that increases market return volatility and pay a premium to hedge this non-diversifiable risk. In particular, we find evidence of risk premiums embedded in prices of firms' traded options that are significantly positively associated with the extent to which the firms' earnings announcements pose non-diversifiable volatility risk. In addition, we find that volatility risk premiums are concentrated among bellwether firms and result in predictable variation in option straddle returns around earnings announcements. Taken together, our findings show that some earnings announcements pose non-diversifiable volatility risk that commands a risk premium. JEL Classifications: M41; G12; G13; G14

Volatility risk premium decomposition of LIFFE equity options

2012 ◽  
Vol 24 ◽  
pp. 315-326 ◽  
Author(s):  
Bing-Huei Lin ◽  
Yueh-Neng Lin ◽  
Yin-Jung Chen
Keyword(s):  
Risk Premium ◽  
Equity Options ◽  
Volatility Risk ◽  
Volatility Risk Premium
Sign in / Sign up

Export Citation Format

Share Document