Search Results - subject:"Skewness Premium"

Tail risk management and the skewness premium

Kipp, Martin; Koziol, Christian - In: Journal of Asset Management 23 (2022) 6, pp. 534-546

theoretical findings allow us to draw empirical predictions about (i) the drivers of the skewness premium, (ii) characteristics …

Persistent link: https://www.econbiz.de/10015210347

Tail risk management and the skewness premium

Kipp, Martin; Koziol, Christian - In: The journal of asset management : a major new, … 23 (2022) 6, pp. 534-546

Persistent link: https://www.econbiz.de/10013392130

On the nature of (jump) skewness risk premia

Orłowski, Piotr; Schneider, Paul; Trojani, Fabio - In: Management science : journal of the Institute for … 70 (2024) 2, pp. 1154-1174

Persistent link: https://www.econbiz.de/10014513916

The risk and return conundrum explained : international evidence

Savva, Christos S.; Theodossiou, Panayiotis - In: Journal of financial econometrics : official journal of … 16 (2018) 3, pp. 486-521

Persistent link: https://www.econbiz.de/10011987799

Crash of ’87 - Was it Expected? Aggregate Market Fears and Long Range Dependence

Gencay, Ramazan; Gradojevic, Nikola - Rimini Centre for Economic Analysis (RCEA) - 2009

premium of European options. Our methodology is based on measuring the distribution of a skewness premium through a q … study of the skewness premium of deepest out-of-the-money options about two months prior to the crash …We develop a dynamic framework to identify aggregate market fears ahead of a major market crash through the skewness …

Persistent link: https://www.econbiz.de/10008487533

Skewness Premium with Lévy Processes

Fajardo, José; Mordecki, Ernesto - IBMEC Business School - Rio de Janeiro - 2006

We study the skewness premium (SK) introduced by Bates (1991) in a general context using Lévy Processes. We obtain …

Persistent link: https://www.econbiz.de/10005551020