Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium

Variance risk premiums and predictive po

Variance risk premiums and predictive power of alternative forward variances in the corn market

✍ Zhiguang Wang; Scott W. Fausti; Bashir A. Qasmi 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 185 KB

## Abstract We propose a fear index for corn using the variance swap rate synthesized from out‐of‐the‐money call and put options as a measure of implied variance. We find negative and time‐varying variance risk premiums (realized variance minus implied variance) in the corn market from 1987 to 2009