التفاصيل البيبلوغرافية
| العنوان: |
Option-Implied Dependence and Correlation Risk Premium. |
| المؤلفون: |
Bondarenko, Oleg1 (AUTHOR) olegb@uic.edu, Bernard, Carole2 (AUTHOR) carole.bernard@grenoble-em.com |
| المصدر: |
Journal of Financial & Quantitative Analysis. Nov2024, Vol. 59 Issue 7, p3139-3189. 51p. |
| مصطلحات موضوعية: |
*OPTIONS (Finance), *STOCK options, *RISK premiums, *FINANCIAL risk, *FINANCIAL risk management, *PORTFOLIO management (Investments), *INVESTORS, *STANDARD & Poor's 500 Index |
| مستخلص: |
We propose a novel model-free approach to obtain the joint risk-neutral distribution among several assets that is consistent with options on these assets and their weighted index. We implement this approach for the nine industry sectors comprising the S&P 500 index and find that their option-implied dependence is highly asymmetric and time-varying. We then study two conditional correlations: when the market moves down or up. The risk premium is strongly negative for the down correlation but positive for the up correlation. Intuitively, investors dislike the loss of diversification when markets fall, but they actually prefer high correlation when markets rally. [ABSTRACT FROM AUTHOR] |
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| قاعدة البيانات: |
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