Modeling Variance Risk Premium

DOI10.1007/978-3-319-50234-2_11MaRDI QIDQ4609756zbMATH OpenOpenAlexFDO

Authors Kossi Gnameho, Juho Kanniainen, 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

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

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A new approach for option pricing under stochastic volatility
• A time series approach to option pricing. Models, methods and empirical performances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• scientific article; zbMATH DE number 5181830 (Why is no real title available?)
• MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
• Malliavin differentiability of the Heston volatility and applications to option pricing
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• Martingales and arbitrage in multiperiod securities markets
• The Malliavin Calculus and Related Topics

Cited in

(5)

• Learning and forecasts about option returns through the volatility risk premium
• A non-linear dynamic model of the variance risk premium
• Modeling the variance risk premium of equity indices: the role of dependence and contagion
• The Variance Risk Premium in Equilibrium Models
• A gradient method for high-dimensional BSDEs

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