A tale of two option markets : pricing kernels and volatility risk
Year of publication: |
January 2016
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Authors: | Song, Zhaogang ; Xiu, Dacheng |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 190.2016, 1, p. 176-196
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Subject: | Multi-factor volatility model | Pricing kernel | Variance swaps | VIX options | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Swap |
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