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The quality of market volatility forecasts implied by S&P 100 index option prices

✍ Scribed by Jeff Fleming

Book ID
117628310
Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
235 KB
Volume
5
Category
Article
ISSN
0927-5398

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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.