• Corpus ID: 55920253

The jump-risk premia implicit in options: evidence from an integrated time-series study

@inproceedings{Pan2001TheJP,
  title={The jump-risk premia implicit in options: evidence from an integrated time-series study},
  author={Jun Pan},
  year={2001}
}
This paper examines the joint time series of the S&P 500 index and near-the-money shortdated option prices with an arbitrage-free model, capturing both stochastic volatility and jumps. Jump-risk premia uncovered from the joint data respond quickly to market volatility, becoming more prominent during volatile markets. This form of jump-risk premia is important not only in reconciling the dynamics implied by the joint data, but also in explaining the volatility ‘‘smirks’’ of cross-sectional… 
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212 Citations
Highly Influential Citations
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118
Methods Citations
64
Results Citations
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212 Citations

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References

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