Please use this identifier to cite or link to this item:
標題: Negative Market Volatility Risk Premium: Evidence from the LIFFE Equity Index Options
作者: Lin, B.H.
Chen, Y.J.
關鍵字: Volatility Risk Premium;Delta Hedge;Gram-Charlier;Skewness;Kurtosis;foreign-currency options;stochastic volatility;price;distributions;variance
Project: Asia-Pacific Journal of Financial Studies
期刊/報告no:: Asia-Pacific Journal of Financial Studies, Volume 38, Issue 5, Page(s) 773-800.
We provide non-parametric empirical evidence regarding negative volatility risk premium using LIFFE equity index options. In addition, we incorporate the moment-adjusted option delta hedge ratio to mitigate the effect of model misspecification. From the results, we observe several interesting phenomena. First, the delta-hedged gains are negative. Second, with a correction for model misspecification, higher-order moments measures show less significance and the volatility risk premium still plays a key role in affecting delta-hedged gains. All empirical evidence supports the existence of negative volatility risk premium in LIFFE equity index options.
ISSN: 1226-1165
Appears in Collections:管理學院

Show full item record

Google ScholarTM


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.