Variance Risk Premia
Year of publication: |
2004-09-07
|
---|---|
Authors: | Carr, Peter ; Wu, Liuren |
Institutions: | EconWPA |
Subject: | Stochastic volatility | variance risk premia | variance swap | volatility swap | option pricing | expectation hypothesis |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | Type of Document - pdf; pages: 60 60 pages |
Classification: | G10 - General Financial Markets. General ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; C51 - Model Construction and Estimation |
Source: |
-
The term structure of equity and variance risk premia
Aït-Sahalia, Yacine, (2018)
-
Commodity derivatives pricing with inventory effects
Bach, Christian, (2012)
-
What's Beneath the Surface? Option Pricing with Multifrequency Latent States
Calvet, Laurent E., (2013)
- More ...
-
The Finite Moment Log Stable Process and Option Pricing
Carr, Peter, (2002)
-
What Type of Process Underlies Options? A Simple Robust Test
Carr, Peter, (2002)
-
Time-Changed Levy Processes and Option Pricing
Carr, Peter, (2002)
- More ...