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Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty - MaRDI portal

Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty

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Publication:4554096

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DOI10.1093/ROF/RFT004zbMath1417.91498OpenAlexW3121568010MaRDI QIDQ4554096

Abderrahim Taamouti, Jean-Sébastien Fontaine, Bruno Feunou, Roméo Tédongap

Publication date: 7 November 2018

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/80736

zbMATH Keywords

term structure equity premium option prices risk factors variance premium asset-pricing models

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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