The DOI matches its Crossref record; 37 of the 37 references it cites were found in a registry or an index.
The risk premia embedded in index options
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Citations
Cites
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
GLOSTEN, L. R., JAGANNATHAN, R., & RUNKLE, D. E. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb05128.x · Cited by 9,008
Option pricing when underlying stock returns are discontinuous
Merton, R. C. (1976) · Journal of Financial Economics · doi:10.1016/0304-405x(76)90022-2 · Cited by 5,953
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
Campbell, J. Y., & Cochrane, J. H. (1999) · Journal of Political Economy · doi:10.1086/250059 · Cited by 5,210
Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
Bansal, R., & Yaron, A. (2004) · The Journal of Finance · doi:10.1111/j.1540-6261.2004.00670.x · Cited by 4,242
Expected stock returns and volatility
French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987) · Journal of Financial Economics · doi:10.1016/0304-405x(87)90026-2 · Cited by 4,107
Determining the Number of Factors in Approximate Factor Models
Bai, J., & Ng, S. (2002) · Econometrica · doi:10.1111/1468-0262.00273 · Cited by 4,099
Limit Theorems for Stochastic Processes.
Monrad, D., Jacod, J., & Shiryaev, A. N. (1988) · Journal of the American Statistical Association · doi:10.2307/2290171 · Cited by 3,990
Transform Analysis and Asset Pricing for Affine Jump-diffusions
Duffie, D., Pan, J., & Singleton, K. J. (2000) · Econometrica · doi:10.1111/1468-0262.00164 · Cited by 2,712
Limit Theorems for Stochastic Processes
Jacod, J., & Shiryaev, A. N. (2003) · Grundlehren der mathematischen Wissenschaften · doi:10.1007/978-3-662-05265-5 · Cited by 2,481
Rare Disasters and Asset Markets in the Twentieth Century*
Barro, R. J. (2006) · Quarterly Journal of Economics · doi:10.1162/qjec.121.3.823 · Cited by 2,316
Metadata
- Authors
- Andersen, T. G., Fusari, N., & Todorov, V.
- Venue
- Journal of Financial Economics
- Publisher
- Elsevier BV
- Published
- 2015-09
- Volume
- 117
- Issue
- 3
- Pages
- 558-584
- ISSN
- 0304-405X (ISSN-L)
- OpenAlex
- W2162993787
- Cited by
- 284
- References
- 37
- FWCI
- 44.13
- Type
- journal article
- Language
- en
- Open access
- bronze
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Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
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- CoChat. (2026). Citation check: The risk premia embedded in index options. https://app.cochat.ai/papers/10.1016/j.jfineco.2015.06.005
- The paper
- Andersen, T. G., Fusari, N., & Todorov, V. (2015). The risk premia embedded in index options. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2015.06.005
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
