This paper investigates the relationship between US stock market returns (S&P500) and
three indicators of the market, namely implied volatility, implied correlation and liquidity. It …

Trading in options with a wide range of exercise prices and a single maturity allows a
researcher to extract the market's risk-neutral density (RND) over the underlying price at …

This chapter surveys the methods available for extracting information from option prices that
can be used in forecasting. We consider option-implied volatilities, skewness, kurtosis, and …

This article studies the full equilibrium dynamics of an economy with financial frictions. Due
to highly nonlinear amplification effects, the economy is prone to instability and occasionally …

This comprehensive reference delivers a toolkit for harvesting market rewards from a wide
range of investments. Written by a world-renowned industry expert, the reference discusses …

We study the cross-section of stock option returns by sorting stocks on the difference
between historical realized volatility and at-the-money implied volatility. We find that a zero …

We investigate the relationship between ex ante total skewness and holding returns on
individual equity options. Recent theoretical developments predict a negative relationship …

We derive a formula for the expected return on a stock in terms of the risk‐neutral variance of
the market and the stock's excess risk‐neutral variance relative to that of the average stock …

We examine the pricing of financial crash insurance during the 2007–2009 financial crisis in
US option markets, and we show that a large amount of aggregate tail risk is missing from …

This paper presents a robust new finding that delta-hedged equity option return decreases
monotonically with an increase in the idiosyncratic volatility of the underlying stock. This …