𝔖 Bobbio Scriptorium
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Pricing lending in the current market: securing the capital — security value sensitivities

✍ Scribed by Elizabeth Edwards

Publisher
Wiley (John Wiley & Sons)
Year
2002
Weight
311 KB
Volume
2
Category
Article
ISSN
1473-1894

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Is volatility risk priced in the securit
Is volatility risk priced in the securities market? Evidence from S&P 500 index options
✍ Yakup Eser Arisoy; Aslihan Salih; Levent Akdeniz 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 214 KB 👁 1 views

## Abstract The authors examine whether volatility risk is a priced risk factor in securities returns. Zero‐beta at‐the‐money straddle returns of the S&P 500 index are used to measure volatility risk. It is demonstrated that volatility risk captures time variation in the stochastic discount factor.