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)

Cites Work

• Martingales and arbitrage in multiperiod securities markets
• A new approach for option pricing under stochastic volatility
• A Time Series Approach to Option Pricing
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• The Malliavin Calculus and Related Topics
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Malliavin differentiability of the Heston volatility and applications to option pricing
• MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
• Unnamed Item

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