When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia

Material TypeArticleLanguageEnglish
TitleWhen Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia Author(S)ANDREA BURASCHI (Author)
Abstract  We provide novel evidence for an equilibrium link between investors' disagreement, the market price of volatility and correlation, and the differential pricing of index and individual equity options. ...Paginationp 101–137
SubjectEconomicsDescriptorsEconomics
Journal TitleThe Journal of Finance  
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