Learning and forecasts about option returns through the volatility risk premium

DOI10.1016/j.jedc.2017.06.007zbMath1401.91555OpenAlexW2735619569MaRDI QIDQ1655714

Marcela Valenzuela, Alejandro Bernales, Louisa Chen

Publication date: 9 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://sro.sussex.ac.uk/id/eprint/75402/1/Bernales%20et%20al%202017.pdf

zbMATH Keywords

Bayesian learningpredictabilitydynamic equilibrium modelvolatility risk premiumoption returns

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

The stock implied volatility and the implied dividend volatility

Cites Work

• The Pricing of Options and Corporate Liabilities
• Learning, confidence, and option prices
• Equilibrium stock return dynamics under alternative rules of learning about hidden states
• Properties of equilibrium asset prices under alternative learning schemes
• Imperfect knowledge, liquidity and bubbles
• Option prices under Bayesian learning: implied volatility dynamics and predictive densities
• High equity premia and crash fears -- rational foundations
• MONITORING STRUCTURAL CHANGES WITH THE GENERALIZED FLUCTUATION TEST
• Asset Prices in an Exchange Economy
• Monitoring Structural Change
• Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning

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