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• W3125219756 abstract "Abstract We study jump variance risk by jointly examining both stock and option markets. We develop a GARCH option pricing model with jump variance dynamics and a nonmonotonic pricing kernel featuring jump variance risk premium. The model yields a closed‐form option pricing formula and improves in fitting index options from 1996 to 2015. The model‐implied jump variance risk premium has predictive power for future market returns. In the cross‐section, heterogeneity in exposures to jump variance risk leads to a 6% difference in risk‐adjusted returns annually." @default.
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• W3125219756 date "2019-04-22" @default.
• W3125219756 modified "2023-09-28" @default.
• W3125219756 title "Jump variance risk: Evidence from option valuation and stock returns" @default.
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• W3125219756 doi "https://doi.org/10.1002/fut.22009" @default.
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