Analyzing volatility risk and risk premium in option contracts : a new theory
Year of publication: |
April 2016
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Authors: | Carr, Peter ; Wu, Liuren |
Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 120.2016, 1, p. 1-20
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Subject: | Implied volatility surface | Option realized volatility | Expected volatility surface | Volatility risk premium | Vega-gamma-vanna-volga | Proportional variance dynamics | Volatilität | Volatility | Risikoprämie | Risk premium | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Schätzung | Estimation | Black-Scholes-Modell | Black-Scholes model | Index-Futures | Index futures |
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