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Search: subject:"Variance swap"
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CAPM
Swap
37
Volatility
36
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Option pricing theory
27
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variance swap
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variance risk premium
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volatility risk premium
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volatility swap
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Mancini, Loriano
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
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1
The term structure of equity and variance risk premia
Aït-Sahalia, Yacine
;
Karaman, Mustafa
;
Mancini, Loriano
-
2018
significant price jump component in
variance
swap
rates. A model-based analysis shows that investors' willingness to ensure …
Persistent link: https://www.econbiz.de/10011899885
Saved in:
2
The term structure of equity and variance risk premia
Aït-Sahalia, Yacine
;
Karamann, Mustafa
;
Mancini, Loriano
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
Saved in:
3
Arbitrage bounds for prices of weighted variance swaps
Davis, Mark H. A.
;
Obłój, Jan
;
Raval, Vimal
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 821-854
Persistent link: https://www.econbiz.de/10011308161
Saved in:
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