Analyzing volatility risk and risk premium in option contracts : a new theory
Peter Carr, Liuren Wu
| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfineco.2016.01.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011590060