Building upon the ideas introduced in their previous book, Derivatives in Financial Markets
with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives …

We derive a formula for the expected return on a stock in terms of the risk‐neutral variance of
the market and the stock's excess risk‐neutral variance relative to that of the average stock …

Equity risk measured by beta is of great interest to both academics and practitioners.
Existing estimates of beta use historical returns. Many studies have found option-implied …

We use forward-looking information from option prices to estimate option-implied
correlations and to construct an option-implied predictor of factor betas. With our implied …

We conduct a comprehensive comparison of market beta estimation techniques. We study
the performance of several historical, time-series model, and option-implied estimators for …

We model and estimate the term structure of implied costs of equity capital (and implied risk
premia) at the firm level for the years 1996–2015 from forward looking option contracts …

Exchange options are one of the most popular exotic options, and have important
implications for many common financial arrangements and for implied beta as a measure of …

Option‐implied betas are a promising alternative to historical beta estimators, because they
are inherently forward‐looking and can incorporate new information immediately and fully …

We extract an option-implied measure for systemic risk, the Systemic Options Value-at-Risk
(SOVaR), from put option prices that can capture the buildup stage of systemic risk in the …

Few issues are more important for finance practice than the computation of market betas.
Existing approaches compute market betas using historical data. While these approaches …