The risk premium that never was: a fair value explanation of the volatility spread

DOI10.1016/J.EJOR.2017.03.070zbMath1403.91389OpenAlexW2602768957MaRDI QIDQ1754048

Frank McGroarty, Richard J. McGee

Publication date: 30 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://eprints.soton.ac.uk/407355/1/EJOR_Pure.pdf

zbMATH Keywords

financetail riskvolatility spreadgrowth-optimal portfoliosvariance premium

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (1)

Taming impulsive high-frequency data using optimal sampling periods

Uses Software

• Option Pricing Toolbox

Cites Work

• A Jump-Diffusion Model for Option Pricing
• A fast calibrating volatility model for option pricing
• Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
• An improved method for pricing and hedging long dated American options
• Estimation of risk-neutral densities using positive convolution approximation
• The valuation of European options in uncertain environment
• Pricing VXX option with default risk and positive volatility skew
• Portfolios and risk premia for the long run
• Economic Interpretation of Probabilities Estimated by Maximum Likelihood or Score
• A Theory of Volatility Spreads
• Volatility Spreads and Expected Stock Returns
• The Impact of Uncertainty Shocks
• A bound on the financial value of information
• The Large-Sample Distribution of the Likelihood Ratio for Testing Composite Hypotheses
• On the financial value of information

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