The law of one price in equity volatility markets
Year of publication: |
2020
|
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Authors: | Van Tassel, Peter |
Publisher: |
New York, NY : Federal Reserve Bank of New York |
Subject: | limits-to-arbitrage | VIX futures | variance swaps | volatility | return predictability |
Series: | Staff Reports ; 953 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1743974310 [GVK] hdl:10419/241146 [Handle] |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; c58 |
Source: |
-
The law of one price in equity volatility markets
Van Tassel, Peter, (2020)
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Relative pricing and risk premia in equity volatility markets
Van Tassel, Peter, (2018)
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Relative pricing and risk premia in equity volatility markets
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