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The Price of Correlation Risk: Evidence from Equity Options

✍ Scribed by JOOST DRIESSEN; PASCAL J. MAENHOUT; GRIGORY VILKOV

Book ID
109176591
Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
234 KB
Volume
64
Category
Article
ISSN
0022-1082

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πŸ“œ SIMILAR VOLUMES

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.