search query: @author Dennis, P. / total: 3
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| Author: | Dennis, P. Mayhew, S. |
| Title: | Risk-neutral skewness: evidence from stock options |
| Journal: | Journal of Financial and Quantitative Analysis
2002 : SEP, VOL. 37:3, p. 471-493 |
| Index terms: | RISK STOCK OPTIONS VOLATILITY |
| Language: | eng |
| Abstract: | The authors investigate the relative importance of various factors in explaining the volatility skew observed in the prices of stock options traded on the Chicago Board Options Exchange. The skewness of the risk-neutral density implied by individual stock option prices tends to be more negative for stocks that have larger betas, suggesting that market risk is important in pricing individual stock options. |
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