The research indicates that index option prices incorporate a negative volatility risk premium, thus providing a possible explanation of why Black-Scholes impli

Master the new edge in options trades: the hidden volatility risk premium that exists in options for every major asset class. One of the most exciting areas of

This study employs a non-parametric approach to investigate the volatility risk premium in the over-the-counter currency option market. Using a large database o

We develop a new option pricing framework that tightly integrates with how institutional investors manage options positions. The framework starts with the near-

"This paper proposes a method for constructing a volatility risk premium, or investor risk aversion, index. The method is intuitive and simple to implement, rel