The Volatility Risk Premium Embedded in Currency Options
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- Hiroshi Sasaki, 2015. "Understanding Delta-Hedged Option Returns in Stochastic Volatility Environments," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(2), pages 151-184, May.
- Neely, Christopher J., 2009.
"Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 188-205, February.
- Christopher J. Neely, 2004. "Forecasting foreign exchange volatility: why is implied volatility biased and inefficient? and does it matter?," Working Papers 2002-017, Federal Reserve Bank of St. Louis.
- Della Corte, Pasquale & Sarno, Lucio & Tsiakas, Ilias, 2011.
"Spot and forward volatility in foreign exchange,"
Journal of Financial Economics, Elsevier, vol. 100(3), pages 496-513, June.
- Sarno, Lucio & Della Corte, Pasquale & Tsiakas, Ilias, 2010. "Spot and Forward Volatility in Foreign Exchange," CEPR Discussion Papers 7893, C.E.P.R. Discussion Papers.
- Gabriele Galati & Patrick Higgins & Owen Humpage & William Melick, 2007.
"Option prices, exchange market intervention, and the higher moment expectations channel: a user's guide,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 225-247.
- Gabriele Galati & Patrick C. Higgins & Owen F. Humpage & William R. Melick, 2006. "Option prices, exchange market intervention, and the higher moment expectations channel: a user’s guide," Working Papers (Old Series) 0618, Federal Reserve Bank of Cleveland.
- Branger, Nicole & Muck, Matthias & Seifried, Frank Thomas & Weisheit, Stefan, 2017. "Optimal portfolios when variances and covariances can jump," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 59-89.
- Yu Feng & Erik Schlogl, 2018.
"Model Risk Measurement Under Wasserstein Distance,"
Research Paper Series
393, Quantitative Finance Research Centre, University of Technology, Sydney.
- Yu Feng & Erik Schlogl, 2018. "Model Risk Measurement under Wasserstein Distance," Papers 1809.03641, arXiv.org, revised Mar 2019.
- Hui Guo & Christopher J. Neely & Jason Higbee, 2008.
"Foreign Exchange Volatility Is Priced in Equities,"
Financial Management, Financial Management Association International, vol. 37(4), pages 769-790, December.
- Hui Guo & Jason Higbee & Christopher J. Neely, 2006. "Foreign exchange volatility is priced in equities," Working Papers 2004-029, Federal Reserve Bank of St. Louis.
- Kedar-Levy, Haim & Yu, Xiaoyan & Kamesaka, Akiko & Ben-Zion, Uri, 2010. "The impact of daily return limit and segmented clientele on stock returns in China," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 223-236, September.
- Sankar, Ganesh & Ramachandran, Shankar & Lukose P J, Jijo, 2020. "Dynamics of variance risk premium: Evidence from India," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 321-334.
- Lin, Bing-Huei & Lin, Yueh-Neng & Chen, Yin-Jung, 2012. "Volatility risk premium decomposition of LIFFE equity options," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 315-326.
- Duyvesteyn, Johan & de Zwart, Gerben, 2015. "Riding the swaption curve," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 57-75.
- Jie-Cao He & Hsing-Hua Chang & Ting-Fu Chen & Shih-Kuei Lin, 2023. "Upside and downside correlated jump risk premia of currency options and expected returns," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-58, December.
- Ammann, Manuel & Buesser, Ralf, 2013. "Variance Risk Premiums in Foreign Exchange Markets," Working Papers on Finance 1304, University of St. Gallen, School of Finance.
- Alfredo Ibáñez, 2008. "The cross-section of average delta-hedge option returns under stochastic volatility," Review of Derivatives Research, Springer, vol. 11(3), pages 205-244, October.
- Yu Feng, 2019. "Theory and Application of Model Risk Quantification," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2019.
- Ammann, Manuel & Buesser, Ralf, 2013. "Variance risk premiums in foreign exchange markets," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 16-32.
- Vohra, Suprita & Fabozzi, Frank J., 2019. "Effectiveness of developed and emerging market FX options in active currency risk management," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 130-146.
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