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~isPartOf:"Research paper series / Swiss Finance Institute"
~person:"Gruber, Peter H."
~subject:"Option trading"
~subject:"Risk premium"
~subject:"Zinsstruktur"
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Gruber, Peter H.
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The price of the smile and variance risk premia
Gruber, Peter H.
;
Tebaldi, Claudio
;
Trojani, Fabio
-
2015
-
This version: September 8, 2015
traded in SPX option markets. The price of the smile reflects two persistent volatility and
skewness
risks, which imply a …
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