Term spreads of implied volatility smirk and variance risk premium
Year of publication: |
2023
|
---|---|
Authors: | Guo, Wei ; Ruan, Xinfeng ; Gehricke, Sebastian A. ; Zhang, Jin E. |
Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 43.2023, 7, p. 829-857
|
Subject: | implied volatility | prediction | SPX options | term spread | variance risk premium | Volatilität | Volatility | Risikoprämie | Risk premium | Zinsstruktur | Yield curve | Prognoseverfahren | Forecasting model | Optionspreistheorie | Option pricing theory | Schätzung | Estimation | Japan | Optionsgeschäft | Option trading |
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