Federal ID: 91-6001537
ISSN: 0022-1090 (Print) | 1756-6916 (Online)
Option-Implied Dependence and Correlation Risk Premium
Oleg Bondarenko and Carole Bernard ♦ We propose a novel model-free approach to obtain the joint risk-neutral distribution among several assets that is consistent with options on these assets and their weighted index. We implement this approach for the nine…