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A two-factor cointegrated commodity price model with an application to spread option pricing
Farkas, Walter; Gourier, Elise; Huitema, Robert; … - 2016 - This version: May 20, 2016
sloping (contango) and downward sloping (backwardation) term-structures, smaller volatilities for longer maturities and an …
Persistent link: https://www.econbiz.de/10011507774
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A space-time random field model for electricity forward prices
Benth, Fred Espen; Paraschiv, Florentina - In: Journal of banking & finance 95 (2018), pp. 203-216
Persistent link: https://www.econbiz.de/10011966749
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A two-factor cointegrated commodity price model with an application to spread option pricing
Farkas, Walter; Gourier, Elise; Huitema, Robert; … - In: Journal of banking & finance 77 (2017), pp. 249-268
Persistent link: https://www.econbiz.de/10011814773
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Sharpe-optimal volatility futures carry
Uhl, Björn - In: The journal of asset management : a major new, … 25 (2024) 3, pp. 288-302
Persistent link: https://www.econbiz.de/10014583405
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Jump and variance risk premia in the S&P 500
Neumann, Maximilian; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 69 (2016), pp. 72-83
Persistent link: https://www.econbiz.de/10011635040
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A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014466112
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The term structure of the price of variance risk
Andries, Marianne; Eisenbach, Thomas M.; Schmalz, Martin C. - 2015
straddles; second, we estimate the PVR in a Heston (1993) stochastic-volatility model. In both cases, the estimation is … more negative and its term structure is steeper when volatility is high. These findings are inconsistent with calibrations …
Persistent link: https://www.econbiz.de/10011303715
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A global factor in variance risk premia and local bond pricing
Kaminska, Iryna; Roberts-Sklar, Matt - 2015
Persistent link: https://www.econbiz.de/10011443308
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What Is the Expected Return on Bitcoin? Extracting the Term Structure of Returns from Options Prices
Foley, Sean; Li, Simeng; Malloch, Hamish; Svec, Jiri - 2021
We infer the forward-looking Bitcoin risk premium from options contracts. Using data from 2018 to 2020, we show that the expected excess returns for Bitcoin are time-varying and significantly higher than in equities or gold, averaging almost 80% per annum. A temporal analysis of the term...
Persistent link: https://www.econbiz.de/10013210940
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What is the Expected Return on Bitcoin? Extracting the Term Structure of Returns from Options Prices
Foley, Sean; Li, Simeng; Malloch, Hamish; Svec, Jiri - 2022
We infer the forward-looking Bitcoin risk premium from options contracts. Using data from 2018 to 2020, we show that the expected excess returns for Bitcoin are time-varying and significantly higher than in equities or gold, averaging almost 80% per annum. A temporal analysis of the term...
Persistent link: https://www.econbiz.de/10013322581