A tale of two option markets: pricing kernels and volatility risk

DOI10.1016/j.jeconom.2015.06.024zbMath1422.91723MaRDI QIDQ894646

Dacheng Xiu, Zhaogang Song

Publication date: 2 December 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.federalreserve.gov/pubs/feds/2014/201458/201458pap.pdf

zbMATH Keywords

variance swaps; VIX options; pricing kernel; multi-factor volatility model

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G20: Derivative securities (option pricing, hedging, etc.)

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Uses Software

• ElemStatLearn

Cites Work

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