Variance trading and market price of variance risk
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Publication:469575
DOI10.1016/j.jeconom.2014.02.001zbMath1298.91156OpenAlexW3121966384MaRDI QIDQ469575
Publication date: 11 November 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.02.001
Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (8)
Arithmetic variance swaps ⋮ Dynamic risk exposures in hedge funds ⋮ Estimation of tail risk and moments using option prices with a novel pricing model under a distorted lognormal distribution ⋮ The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications ⋮ A general property for time aggregation ⋮ Modeling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion ⋮ Variance swaps valuation under non-affine GARCH models and their diffusion limits ⋮ Informative option portfolios in filter design for option pricing models
Cites Work
- The Pricing of Options and Corporate Liabilities
- Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
- Variance dynamics: joint evidence from options and high-frequency returns
- Estimation of risk-neutral densities using positive convolution approximation
- Post-'87 crash fears in the S\&P 500 futures option market
- THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
- Options and Efficiency
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Option pricing when underlying stock returns are discontinuous
- Common risk factors in the returns on stocks and bonds
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