The risk premium that never was: a fair value explanation of the volatility spread
type: Item
instance of: scholarly article
title: The risk premium that never was: a fair value explanation of the volatility spread
zbMATH Open document ID: 1403.91389
author: Richard J. McGee
author: Frank McGroarty
published in: European Journal of Operational Research
publication date: 2018-05-30T00:00:00Z
full work available at URL: EJOR Pure.pdf
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6876529
zbMATH Keywords: finance
zbMATH Keywords: volatility spread
zbMATH Keywords: variance premium
zbMATH Keywords: tail risk
zbMATH Keywords: growth-optimal portfolios
describes a project that uses: Option Pricing Toolbox
MaRDI profile type: Publication
OpenAlex ID: W2602768957
cites work: A Theory of Volatility Spreads
cites work: Volatility Spreads and Expected Stock Returns
cites work: Pricing VXX option with default risk and positive volatility skew
cites work: A bound on the financial value of information
cites work: The Impact of Uncertainty Shocks
cites work: Estimation of risk-neutral densities using positive convolution approximation
cites work: A fast calibrating volatility model for option pricing
cites work: On the financial value of information
cites work: An improved method for pricing and hedging long dated American options
cites work: Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
cites work: Portfolios and risk premia for the long run
cites work: Economic Interpretation of Probabilities Estimated by Maximum Likelihood or Score
cites work: A Jump-Diffusion Model for Option Pricing
cites work: The Large-Sample Distribution of the Likelihood Ratio for Testing Composite Hypotheses
cites work: The valuation of European options in uncertain environment
DOI: 10.1016/J.EJOR.2017.03.070
Recommended article: A Theory of Volatility Spreads
Recommended article: Risk premiums in a simple market model for implied volatility
Recommended article: Excess Volatility: Beyond Discount Rates*
Recommended article: Dynamics of variance risk premia: a new model for disentangling the price of risk
Recommended article: A risk-neutral equilibrium leading to uncertain volatility pricing
Recommended article: The variance risk premium and fundamental uncertainty
Recommended article: Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors
Recommended article: From volatility smiles to the volatility of volatility
Recommended article: WOULD THERE EVER BE CONSENSUS VALUE AND SOURCE OF THE EQUITY RISK PREMIUM? A REVIEW OF THE EXTANT LITERATURE
description: scientific article; zbMATH DE number 6876529