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Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios

Bakshi, Gurdip S.; Panayotov, George; Skoulakis, Georgios - In: Journal of financial economics 100 (2011) 3, pp. 475-495

Persistent link: https://www.econbiz.de/10009242197

Improving the Predictability of Real Economic Activity and Asset Returns with Forward Variances Inferred from Option Portfolios

Bakshi, Gurdip S. - 2012

This paper presents an option positioning that allows us to infer forward variances from option portfolios. The forward variances we construct from equity index options help to predict (i) growth in measures of real economic activity, (ii) Treasury bill returns, (iii) stock market returns, and...

Persistent link: https://www.econbiz.de/10013116049

Do call prices and the underlying stock always move in the same direction?

Bakshi, Gurdip S.; Cao, Charles Q.; Chen, Zhiwu - In: The review of financial studies 13 (2000) 3, pp. 549-584

Persistent link: https://www.econbiz.de/10001499744

Pricing and hedging long-term options

Bakshi, Gurdip S.; Cao, Charles Q.; Chen, Zhiwu - In: Journal of econometrics 94 (2000) 1/2, pp. 277-318

Persistent link: https://www.econbiz.de/10001437760

Empirical performance of alternative option pricing models

Bakshi, Gurdip S. - In: The journal of finance : the journal of the American … 52 (1997) 5, pp. 2003-2049

Persistent link: https://www.econbiz.de/10001232333

Stock return characteristics, skew laws, and the differential pricing of individual equity options

Bakshi, Gurdip S.; Kapadia, Nikunj; Madan, Dilip B. - In: The review of financial studies 16 (2003) 1, pp. 101-143

Persistent link: https://www.econbiz.de/10001764187

An alternative valuation model for contingent claims

Bakshi, Gurdip S. - In: Journal of financial economics 44 (1997) 1, pp. 123-165

Persistent link: https://www.econbiz.de/10001219691

Equilibrium valuation of foreign exchange claims

Bakshi, Gurdip S. - In: The journal of finance : the journal of the American … 52 (1997) 2, pp. 799-826

Persistent link: https://www.econbiz.de/10001222420

Average rate claims with emphasis on catastrophe loss options

Bakshi, Gurdip S.; Madan, Dilip B. - In: Journal of financial and quantitative analysis : JFQA 37 (2002) 1, pp. 93-115

Persistent link: https://www.econbiz.de/10001661620

Returns of claims on the upside and the viability of U-shaped pricing kernels

Bakshi, Gurdip S.; Madan, Dilip B.; Panayotov, George - In: Journal of financial economics 97 (2010) 1, pp. 130-154

Persistent link: https://www.econbiz.de/10003991462