6 citations · 7 across the 3 of their papers we have counts for
3 papers
q-fin.PR2022★ 6 cited
Option Pricing with Time-Varying Volatility Risk Aversion
Peter Reinhard Hansen, Chen Tong
We introduce a pricing kernel with time-varying volatility risk aversion to explain observed time variations in the shape of the pricing kernel. When combined with the Heston-Nandi…
econ.EM2021★ 1 cited
Realized GARCH, CBOE VIX, and the Volatility Risk Premium
Peter Reinhard Hansen, Zhuo Huang, Chen Tong +1
We show that the Realized GARCH model yields close-form expression for both the Volatility Index (VIX) and the volatility risk premium (VRP). The Realized GARCH model is driven by…
q-fin.PR2021
Option Pricing with State-dependent Pricing Kernel
Chen Tong, Peter Reinhard Hansen, Zhuo Huang
We introduce a new volatility model for option pricing that combines Markov switching with the Realized GARCH framework. This leads to a novel pricing kernel with a state-dependent…