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The model of security market when the security price is a continuous semimartingale

✍ Scribed by Choi, Won

Publisher
Springer-Verlag
Year
1998
Tongue
English
Weight
89 KB
Volume
5
Category
Article
ISSN
1226-0061

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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 πŸ“‚ Article πŸ“… 2007 πŸ› John Wiley and Sons 🌐 English βš– 214 KB πŸ‘ 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.