Options
Pricing theory, the volatility risk premium, option returns, and the modern 0DTE evidence.
| Citation | Paper | Access | Difficulty | Score |
|---|---|---|---|---|
| Bondarenko (2014) | Why Are Put Options So Expensive? Quarterly Journal of Finance | Free | Technical | 0 |
| Carr & Wu (2009) | Variance Risk Premiums Review of Financial Studies | Paywalled | Technical | 0 |
| Bakshi & Kapadia (2003) | Delta-Hedged Gains and the Negative Market Volatility Risk Premium Review of Financial Studies | Paywalled | Technical | 0 |
| Bakshi et al. (2003) | Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options Review of Financial Studies | Paywalled | Technical | 0 |
| Black & Scholes (1973) | The Pricing of Options and Corporate Liabilities Journal of Political Economy | Paywalled | Technical | 0 |
| Merton (1973) | Theory of Rational Option Pricing Bell Journal of Economics and Management Science | Paywalled | Technical | 0 |