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Variance Risk Premia
Carr, Peter; Wu, Liuren - EconWPA - 2004
well approximated by the value of a particular portfolio of options. Ignoring the small approximation error, the difference … options data set, we synthesize variance swap rates and investigate the historical behavior of variance risk premia on five …
Persistent link: https://www.econbiz.de/10005413197
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A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
Lord, Roger; Koekkoek, Remmert; Dijk, Dick van - Tinbergen Instituut - 2006
introduce the new full truncation scheme, tailored to minimise the upward bias found when pricing European options. Thirdly and …
Persistent link: https://www.econbiz.de/10011255776
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Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility
Hol, Eugenie; Koopman, Siem Jan - Tinbergen Instituut - 2000
In this paper we compare the predictive abilility of Stochastic Volatility (SV)models to that of volatility forecasts implied by option prices. We develop anSV model with implied volatility as an exogeneous var able in the varianceequation which facilitates the use of statistical tests for...
Persistent link: https://www.econbiz.de/10011255461