Modeling Variance Risk Premium

DOI10.1007/978-3-319-50234-2_11zbMath1383.62240OpenAlexW2776642971MaRDI QIDQ4609756

Juho Kanniainen, Kossi Gnameho, Ye Yue

Publication date: 26 March 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-50234-2_11

zbMATH Keywords

variance risk premium

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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