Risk premia across asset markets: information from option prices

A measure of risk premium is derived from the comparison of spot and option prices across the US equity and eurodollar markets. Risk premia in both markets co-move with volatility risk. Option prices, however, seem to underreact to changes in return volatility forecasts.

MoreLess

Year of publication:	2006
Authors:	Tarashev, Nikola ; Tsatsaronis, Kostas
Published in:	BIS Quarterly Review. - Bank for International Settlements (BIS). - 2006, March
Publisher:	Bank for International Settlements (BIS)

More details

Extent:	application/pdf text/html
Type of publication:	Article
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005063257