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Persistent link: https://www.econbiz.de/10011420437

Arbitrage theory in models with transaction costs beyond efficient friction

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Gambler's ruin problem and bi-directional grid constrained trading and investment strategies

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Properly discounted asset prices are semimartingales

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Semimartingale price systems in models with transaction costs beyond efficient friction

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How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns

Konstantinidi, Eirini; Skiadopoulos, George - 2014

We explore whether the market variance risk premium (VRP) can be predicted. First, we propose a novel approach to measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather than synthetic S&P 500 variance swap quotes, thus avoiding...

Persistent link: https://www.econbiz.de/10010472838

How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns

Konstantinidi, Eirini; Skiadopoulos, George - 2014

Persistent link: https://www.econbiz.de/10010412464

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Persistent link: https://www.econbiz.de/10012815115