Option-Implied Dependence and Correlation Risk Premium
提出一种无需模型的方法，从期权价格中提取多个资产及其加权指数的联合风险中性分布，发现行业板块间的期权隐含依赖性高度不对称且时变，并研究了市场下跌和上涨时的条件相关性风险溢价。
Abstract 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 industry sectors comprising the S&P 500 index and find that their option-implied dependence is highly asymmetric and time-varying. We then study two conditional correlations: when the market moves down or up. The risk premium is strongly negative for the down correlation but positive for the up correlation. Intuitively, investors dislike the loss of diversification when markets fall, but they actually prefer high correlation when markets rally.