Schneider, Paul; Trojani, Fabio - 2015 - This Version: November 23, 2015
Realized divergence gauges the distinct realized moments associated with time-varying uncertainty and is tradeable with … divergence swaps engineered from delta-hedged option portfolios. Consistently with established notions of symmetry in arbitrage …-free option markets, implied divergence systematically decomposes the price of uncertainty into the contributions of distinct …