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Pascal Maenhout
Associate Professor of Finance
Journal Article
Driessen J., Maenhout P., Vilkov G. (2009). The Price of Correlation Risk: Evidence from Equity Options Journal of Finance, 64(3), pp. 1377-1406.
The authors study whether exposure to market-wide correlation shocks affects expected option returns, using data on S&P100 index options, options on all components, and stock returns.