Risk premiums in a simple market model for implied volatility

DOI10.1080/14697688.2012.666636zbMath1281.91169OpenAlexW2004977392MaRDI QIDQ5397415

Bas Peeters

Publication date: 20 February 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2012.666636

zbMATH Keywords

stochastic volatilityportfolio optimizationderivatives analysisvolatility modellingoptions volatilityequity options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• The dynamics of stochastic volatility: evidence from underlying and options markets
• Alternative models for stock price dynamics.
• Post-'87 crash fears in the S\&P 500 futures option market
• HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS
• TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• A market model for stochastic implied volatility
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• An Empirical Portfolio Perspective on Option Pricing Anomalies*

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