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Risk premia in option markets - MaRDI portal

Risk premia in option markets (Q300692)

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scientific article; zbMATH DE number 6599189
Language Label Description Also known as
English
Risk premia in option markets
scientific article; zbMATH DE number 6599189

    Statements

    title
    Risk premia in option markets (English)
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    publication date
    28 June 2016
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    zbMATH Keywords
    variance gamma
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    self decomposable law
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    vector auto regression
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    long horizon returns
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    author
    Dilip B. Madan
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60J75
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    62M10
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    zbMATH DE Number
    6599189
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    OpenAlex ID
    W3125245597
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