User profiles for G. Bakshi

Gurdip Bakshi

- Verified email at temple.edu - Cited by 13281

Ganesh Bakshi

- Verified email at tmc.gov.in - Cited by 1484

Empirical performance of alternative option pricing models

G Bakshi, C Cao, Z Chen - The Journal of finance, 1997 - Wiley Online Library
Substantial progress has been made in developing more realistic option pricing models.
Empirically, however, it is not known whether and by how much each generalization improves …

Stock return characteristics, skew laws, and the differential pricing of individual equity options

G Bakshi, N Kapadia, D Madan - The Review of Financial …, 2003 - academic.oup.com
This article provides several new insights into the economic sources of skewness. First, we
document the differential pricing of individual equity options versus the market index and …

Delta-hedged gains and the negative market volatility risk premium

G Bakshi, N Kapadia - The Review of Financial Studies, 2003 - academic.oup.com
We investigate whether the volatility risk premium is negative by examining the statistical
properties of delta-hedged option portfolios (buy the option and hedge with stock). Within a …

Spanning and derivative-security valuation

G Bakshi, D Madan - Journal of financial economics, 2000 - Elsevier
This article provides the economic foundations for valuing derivative securities. In particular,
it establishes how the characteristic function (of the future uncertainty) is basis augmenting …

Baby boom, population aging, and capital markets

GS Bakshi, Z Chen - Journal of business, 1994 - JSTOR
This article tests how demographic changes affect capital markets. The life-cycle investment
hypothesis states that at an early stage an investor allocates more wealth in housing and …

The spirit of capitalism and stock-market prices

GS Bakshi, Z Chen - The American Economic Review, 1996 - JSTOR
… which appears to resemble the pricing equation of Larry G. Epstein and Stanley E. Zin ( …
for Model 2 given by: C * = g(xt, t)W*, for some "well-behaved" function g(xt, t). Substituting this …

Prostate-only versus whole-pelvic radiation therapy in high-risk and very high-risk prostate cancer (POP-RT): outcomes from phase III randomized controlled trial

…, G Panigrahi, R Krishnatry, G Bakshi… - Journal of Clinical …, 2021 - ascopubs.org
PURPOSE We report the clinical outcomes of a randomized trial comparing prophylactic
whole-pelvic nodal radiotherapy to prostate-only radiotherapy (PORT) in high-risk prostate …

Pricing and hedging long-term options

G Bakshi, C Cao, Z Chen - Journal of econometrics, 2000 - Elsevier
Do long-term and short-term options contain differential information? If so, can long-term
options better differentiate among alternative models? To answer these questions, we first …

A theory of volatility spreads

G Bakshi, D Madan - Management science, 2006 - pubsonline.informs.org
This study formalizes the departure between risk-neutral and physical index return volatilities,
termed volatility spreads. Theoretically, the departure between risk-neutral and physical …

Do call prices and the underlying stock always move in the same direction?

G Bakshi, C Cao, Z Chen - The Review of Financial Studies, 2000 - academic.oup.com
This article empirically analyzes some properties shared by all one-dimensional diffusion
option models. Using S&P 500 options, we find that sampled intraday (or interday) call (put) …