Recovering Implied Volatility
References
- (2002) Illiquidity and stock returns: Cross-section and time-series effects. J. Financial Markets 5(1):31–56.Crossref, Google Scholar
- (1993) Option valuation with systematic stochastic volatility. J. Finance 48(3):881–910.Crossref, Google Scholar
- (2014) The joint cross section of stocks and options. J. Finance 69(5):2279–2337.Crossref, Google Scholar
- (2002) An empirical investigation of continuous-time equity return models. J. Finance 57(3):1239–1284.Crossref, Google Scholar
- (2002) Asymmetric correlations of equity portfolios. J. Financial Econom. 63(3):443–494.Crossref, Google Scholar
- (2003a) Delta-hedged gains and the negative volatility risk premium. Rev. Financial Stud. 16(2):527–566.Crossref, Google Scholar
- (2003b) Volatility risk premiums embedded in individual equity options: Some new insights. J. Derivatives 11(1):45–54.Crossref, Google Scholar
- (2000) Spanning and derivative-security valuation. J. Financial Econom. 55(2):205–238.Crossref, Google Scholar
- (1997) Empirical performance of alternative option pricing models. J. Finance 52(5):589–667.Crossref, Google Scholar
- (2003) Stock return characteristics, skew laws, and differential pricing of individual equity options. Rev. Financial Stud. 16(1):101–143.Crossref, Google Scholar
- (2009) Volatility spreads and expected stock returns. Management Sci. 55(11):1797–1812.Link, Google Scholar
- (1985) On jumps in common stock prices and their impact on call option pricing. J. Finance 40(1):155–173.Crossref, Google Scholar
- (1991) The crash of ’87: Was it expected? The evidence from options markets. J. Finance 46(3):1009–1044.Crossref, Google Scholar
- (2000) Post-’87 crash fears in the S&P 500 futures option market. J. Econometrics 94(1–2):181–238.Crossref, Google Scholar
- (2003) Empirical option pricing: A retrospection. J. Econometrics 116(1–2):387–404.Crossref, Google Scholar
- (2019) Option implied dependence. Working paper, University of Illinois at Chicago.Google Scholar
- (1973) The pricing of options and corporate liabilities. J. Political Econom. 81(3):637–654.Crossref, Google Scholar
- (2004) Does net buying pressure affect the shape of implied volatility functions? J. Finance 59(2):711–753.Crossref, Google Scholar
- (2020) Beta risk in the cross-section of equities. Rev. Financial Stud. 33(9):4318–4366.Crossref, Google Scholar
- (2016) Misspecified recovery. J. Finance 71(6):2493–2544.Crossref, Google Scholar
- (1978) Prices of state-contingent claims implicit in option prices. J. Bus. 51(4):621–651.Crossref, Google Scholar
- (2012) Measuring equity risk with option-implied correlations. Rev. Financial Stud. 25(10):3113–3140.Crossref, Google Scholar
- (2017) Option-implied correlations, factor models, and market risk. Working paper, Frankfurt School of Finance & Management, Germany.Google Scholar
- (2019) Expected correlation and future market returns. Working paper, Frankfurt School of Finance & Management, Germany.Google Scholar
- (2020) Predicting the equity premium with the implied volatility spread. J. Financial Markets 51:100531.Crossref, Google Scholar
- (1997) On persistence in mutual fund performance. J. Finance 52(1):57–82.Crossref, Google Scholar
- (2001) Optimal positioning in derivative securities. Quant. Finance 1(1):19–37.Crossref, Google Scholar
- (2020) The conditional expected market return. J. Financial Econom. 137(3):752–786.Crossref, Google Scholar
- (1986) Economic forces and the stock market. J. Bus. 59(3):383–403.Crossref, Google Scholar
- (2018) The factor structure in equity options. Rev. Financial Stud. 31(2):595–637.Crossref, Google Scholar
- (1980) Strong consistency of least squares estimators in linear regression models. Ann. Statist. 8(4):778–788.Crossref, Google Scholar
- (1976) The valuation of options for alternative stochastic processes. J. Financial Econom. 3(1–2):145–166.Crossref, Google Scholar
- (1979) Option pricing: A simplified approach. J. Financial Econom. 7(3):229–263.Crossref, Google Scholar
- (2009) Optimal vs. naive diversification: How inefficient is the 1/N portfolio strategy? Rev. Financial Stud. 22(5):1915–1953.Crossref, Google Scholar
- (2002) Differences of opinion and the cross section of stock returns. J. Finance 57(5):2113–2141.Crossref, Google Scholar
- (2009) The price of correlation risk: Evidence from equity options. J. Finance 64(3):1377–1406.Crossref, Google Scholar
- (2009) Systematic risk and the price structure of individual equity options. Rev. Financial Stud. 22(5):1981–2006.Crossref, Google Scholar
- (2000) Transform analysis and asset pricing for affine jump-diffusions. Econometrica 68(6):1343–1376.Crossref, Google Scholar
- (2001) Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH (National Bureau of Economic Research, Cambridge, MA).Crossref, Google Scholar
- (2003) The impact of jumps in returns and volatility. J. Finance 58(3):1269–1300.Crossref, Google Scholar
- (1993) Common risk factors in the returns on bonds and stocks. J. Financial Econom. 33(1):3–56.Crossref, Google Scholar
- (2016) Dissecting anomalies with a five-factor model. Rev. Financial Stud. 29(1):69–103.Crossref, Google Scholar
- (1973) Risk, return, and equilibrium: Empirical tests. J. Political Econom. 81(3):607–636.Crossref, Google Scholar
- (2009) Demand-based option pricing. Rev. Financial Stud. 22(10):4259–4299.Crossref, Google Scholar
- (1991) How many subjects does it take to do a regression analysis. Multivariate Behav. Res. 26(3):499–510.Crossref, Google Scholar
- (2018) When factors do not span their basis portfolios. J. Financial Quant. Anal. 53(6):2335–2354.Crossref, Google Scholar
- (2016) The common factor in idiosyncratic volatility: Quantitative asset pricing implications. J. Financial Econom. 119(2):249–283.Crossref, Google Scholar
- (1988) Computing a nearest symmetric positive semidefinite matrix. Linear Algebra Appl. 103:103–118.Crossref, Google Scholar
- (2007) Asymmetries in stock returns: Statistical tests and economic evaluation. Rev. Financial Stud. 20(5):1547–1581.Crossref, Google Scholar
- (2015) Digesting anomalies: An investment approach. Rev. Financial Stud. 28(3):650–705.Crossref, Google Scholar
- (2019) Generalized recovery. J. Financial Econom. 133(1):154–174.Crossref, Google Scholar
- (2000) Risk management lessons from long-term capital management. Eur. Financial Management 6(3):277–300.Crossref, Google Scholar
- (2018) Estimating the value of information. Rev. Financial Stud. 32(3):951–991.Crossref, Google Scholar
- (2020) A bound on expected stock returns. Rev. Financial Stud. 33(4):1565–1617.Crossref, Google Scholar
- (2021) Recovering conditional factor risk premia. Working paper, Washington University in St Louis, MO.Google Scholar
- (2018) Option-implied systematic disaster concern. Working paper, Cornell University, Ithaca, NYGoogle Scholar
- (2001) Extreme correlation of international equity markets. J. Finance 56(2):649–676.Crossref, Google Scholar
- (2017) What is the expected return on the market? Quart. J. Econom. 132(1):367–433.Crossref, Google Scholar
- (2019) What is the expected return on a stock? J. Finance 74(4):1887–1929.Crossref, Google Scholar
- (1973a) An intertemporal capital asset pricing model. Econometrica 41(5):867–887.Crossref, Google Scholar
- (1973b) Theory of rational option pricing. Bell J. Econom. Management Sci. 4(1):141–183.Crossref, Google Scholar
- (1976a) The impact on option pricing of specification error in the underlying stock price returns. J. Finance 31(2):333–350.Crossref, Google Scholar
- (1976b) Option pricing when the underlying stock returns are discontinuous. J. Financial Econom. 3(1–2):125–144.Crossref, Google Scholar
- (1990) General equilibrium pricing of options on the market portfolio with discontinuous returns. Rev. Financial Stud. 3(4):493–521.Crossref, Google Scholar
- (2002) The jump-risk premia implicit in options: Evidence from an integrated time-series study. J. Financial Econom. 63(1):3–50.Crossref, Google Scholar
- (2010) Out-of-sample equity premium prediction: Combination forecasts and links to the real economy. Rev. Financial Stud. 23(2):821–862.Crossref, Google Scholar
- (2019) Arbitrage pricing theory for idiosyncratic variance factors. Working paper, University of Melbourne, Australia.Google Scholar
- (1988) The international crash of October 1987. Financial Anal. J. 44(5):19–35.Crossref, Google Scholar
- (1976a) The arbitrage theory of capital asset pricing. J. Econom. Theory 13(3):341–360.Crossref, Google Scholar
- (1976b) Options and efficiency. Quart. J. Econom. 90(1):75–89.Crossref, Google Scholar
- (2015) The recovery theorem. J. Finance 70(2):615–648.Crossref, Google Scholar
- (1990) Stock volatility and the crash of ’87. Rev. Financial Stud. 3(1):77–102.Crossref, Google Scholar
- (2008) Cross-sectional stock option pricing and factor models of returns. Working paper, Carnegie Mellon University, Pittsburgh, PA.Google Scholar
- (2005) Implied correlation index: A new measure of diversification. J. Futures Markets 25(2):171–197.Crossref, Google Scholar
- (2011) Introduction to Econometrics, 3rd ed. (Addison Wesley, Boston).Google Scholar
- (2018) Variance asymmetry managed portfolios. Working paper, University of Texas at Dallas.Google Scholar
- (1973) A note on using cross-sectional information in Bayesian estimation of security betas. J. Finance 28(5):1233–1239.Crossref, Google Scholar
- (2010) What does the individual option volatility smirk tell us about future equity returns? J. Financial Quant. Anal. 45(3):641–662.Crossref, Google Scholar
- (2011) Jump risk, stock returns, and slope of implied volatility smile. J. Financial Econom. 99(1):216–233.Crossref, Google Scholar

