Narrow search
Showing 1 - 4 of 4
Cover Image
The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015
In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a downward sloping term structure of low-frequency variance...
Persistent link: https://www.econbiz.de/10011412294
Cover Image
Option pricing when correlations are stochastic : an analytical framework
Fonseca, José da; Grasselli, Martino; Tebaldi, Claudio - In: Review of derivatives research 10 (2007) 2, pp. 151-180
Persistent link: https://www.econbiz.de/10003705867
Cover Image
Stochastic Jacobian and Riccati ODE in affine term structure models
Grasselli, Martino; Tebaldi, Claudio - In: Decisions in economics and finance : DEF ; a journal of … 30 (2007) 2, pp. 95-108
Persistent link: https://www.econbiz.de/10003630203
Cover Image
The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - In: Management science : journal of the Institute for … 67 (2021) 7, pp. 4056-4074
Persistent link: https://www.econbiz.de/10012623900