Risk premia across asset markets: information from option prices
Nikola Tarashev () and
Kostas Tsatsaronis ()
BIS Quarterly Review, 2006
A measure of risk premium is derived from the comparison of spot and option prices across the US equity and eurodollar markets. Risk premia in both markets co-move with volatility risk. Option prices, however, seem to underreact to changes in return volatility forecasts.
JEL-codes: G12 G13 G14 (search for similar items in EconPapers)
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