Variance trading and market price of variance risk (Q469575): Difference between revisions

@@ Property / DOI @@
-.1016/j.jeconom.2014.02.001
@@ Property / DOI: 10.1016/j.jeconom.2014.02.001 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
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@@ Property / zbMATH DE Number @@
+6368012
@@ Property / zbMATH DE Number: 6368012 / rank @@
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@@ Property / zbMATH Keywords @@
+variance risk
@@ Property / zbMATH Keywords: variance risk / rank @@
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@@ Property / zbMATH Keywords @@
+option valuation
@@ Property / zbMATH Keywords: option valuation / rank @@
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@@ Property / zbMATH Keywords @@
+risk-neutral density
@@ Property / zbMATH Keywords: risk-neutral density / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic volatility
@@ Property / zbMATH Keywords: stochastic volatility / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2014.02.001
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@@ Property / OpenAlex ID @@
+W3121966384
@@ Property / OpenAlex ID: W3121966384 / rank @@
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@@ Property / cites work @@
+Post-'87 crash fears in the S\&P 500 futures option market
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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@@ Property / cites work @@
+Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
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@@ Property / cites work @@
+Estimation of risk-neutral densities using positive convolution approximation
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@@ Property / cites work @@
+THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
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@@ Property / cites work @@
+Common risk factors in the returns on stocks and bonds
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@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Options and Efficiency
@@ Property / cites work: Options and Efficiency / rank @@
+Normal rank
@@ Property / cites work @@
+Variance dynamics: joint evidence from options and high-frequency returns
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@@ Property / DOI @@
+.1016/J.JECONOM.2014.02.001
@@ Property / DOI: 10.1016/J.JECONOM.2014.02.001 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:469575