Dark Matter in (Volatility and) Equity Option Risk Premiums
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- Gurdip Bakshi & John Crosby & Xiaohui Gao, 2022. "Dark Matter in (Volatility and) Equity Option Risk Premiums," Operations Research, INFORMS, vol. 70(6), pages 3108-3124, November.
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Cited by:
- Stahl, Philip & Blauth, Jérôme, 2025. "Martingale defects in the volatility surface and bubble conditions in the underlying," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 154110, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
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This paper has been announced in the following NEP Reports:- NEP-FMK-2023-05-08 (Financial Markets)
- NEP-RMG-2023-05-08 (Risk Management)
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