Driessen is at the University of Amsterdam. Maenhout and Vilkov are at INSEAD. We would like to thank Yacine Aït-Sahalia, David Bates, Jonathan Berk, Oleg Bondarenko, Michael Brandt, Menachem Brenner, John Campbell, Mike Chernov, Greg Duffee, Darrell Duffie, Rob Engle, Jan Ericsson, Gerard Gennotte, Jens Jackwerth, Chris Jones, Frank de Jong, Hayne Leland, Toby Moskowitz, Anthony Neuberger, Josh Rosenberg, Mark Rubinstein, Pedro Santa-Clara, Ken Singleton, Otto van Hemert, Robert Whitelaw, Zhipeng Zhang, and especially Bernard Dumas for comments and stimulating discussions. We are particularly grateful for the detailed and constructive comments of an anonymous referee and the Editor. We received helpful comments from seminar participants at Berkeley Haas School of Business, BI Oslo, Cornell Johnson School, HEC Lausanne, INSEAD, LBS-LSE-Oxford Asset Pricing Workshop, MIT Sloan, NY Fed, NYU Stern, Stanford GSB, Tilburg, University of Amsterdam, University of Bonn, University of Frankfurt, University of Rotterdam, Warwick Business School, Yale SOM, CEPR Summer Symposium Gerzensee, EFA 2005, Duke-UNC Asset Pricing Conference, and WFA 2006. We gratefully acknowledge the financial support of INSEAD R&D.
The Price of Correlation Risk: Evidence from Equity Options
Version of Record online: 20 MAY 2009
© 2009 the American Finance Association
The Journal of Finance
Volume 64, Issue 3, pages 1377–1406, June 2009
How to Cite
DRIESSEN, J., MAENHOUT, P. J. and VILKOV, G. (2009), The Price of Correlation Risk: Evidence from Equity Options. The Journal of Finance, 64: 1377–1406. doi: 10.1111/j.1540-6261.2009.01467.x
- Issue online: 20 MAY 2009
- Version of Record online: 20 MAY 2009
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