The Volatility Risk Premium Embedded in Currency Options
用非参数方法研究场外货币期权市场的波动率风险溢价，基于四种主要货币的日度跨式期权报价，发现波动率风险被定价且溢价为负，期限越长溢价越小，还发现跳跃风险可能也被定价。
Abstract This study employs a non-parametric approach to investigate the volatility risk premium in the over-the-counter currency option market. Using a large database of daily delta-neutral straddle quotes in four major currencies—the British pound, the euro, the Japanese yen, and the Swiss franc—we find that volatility risk is priced in all four currencies across different option maturities. We find that the volatility risk premium is negative, with the premium decreasing in maturity. Finally, we also find evidence that jump risk may be priced in the currency option market.