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The volatility risk premium in the oil market - MaRDI portal

The volatility risk premium in the oil market

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Publication:5092668

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DOI10.1080/14697688.2022.2066322zbMath1497.91304OpenAlexW4280649423MaRDI QIDQ5092668

Ilia Bouchouev, Brett Johnson

Publication date: 22 July 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2066322

zbMATH Keywords

options derivatives oil volatility risk premium commodities systematic trading

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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