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

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+Post-'87 crash fears in the S\&P 500 futures option market
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+The Pricing of Options and Corporate Liabilities
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+Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
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+Estimation of risk-neutral densities using positive convolution approximation
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+THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
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+Common risk factors in the returns on stocks and bonds
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Option pricing when underlying stock returns are discontinuous
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+Options and Efficiency
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+Variance dynamics: joint evidence from options and high-frequency returns
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