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| Author: | Pan, J. |
| Title: | The jump-risk premia implicit in options: evidence from an integrated time-series study |
| Journal: | Journal of Financial Economics
2002 : JAN, VOL. 63:1, p. 3-50 |
| Index terms: | OPTION PRICES RISK PREMIUM STOCHASTIC PROCESSES VOLATILITY |
| Language: | eng |
| Abstract: | This paper examines the joint time series of the S&P 500 index and near-the-money short-dated options 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. |
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