𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Variance Risk Premiums

✍ Scribed by Carr, Peter (author);Wu, Liuren (author)


Book ID
118132959
Publisher
Oxford University Press
Year
2008
Tongue
English
Weight
224 KB
Volume
22
Category
Article
ISSN
0893-9454

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Variance Risk Premiums
✍ Carr, Peter (author);Wu, Liuren (author) πŸ“‚ Article πŸ“… 2008 πŸ› Oxford University Press 🌐 English βš– 224 KB
Variance risk premiums and predictive po
✍ Zhiguang Wang; Scott W. Fausti; Bashir A. Qasmi πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 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

Multivariate risk premiums
✍ R. Ambarish; J. G. Kallberg πŸ“‚ Article πŸ“… 1987 πŸ› Springer US 🌐 English βš– 731 KB
Exchange rate risk premiums
✍ Yin-Wong Cheng πŸ“‚ Article πŸ“… 1993 πŸ› Elsevier Science 🌐 English βš– 907 KB
Is the Term Premium a Risk Premium?
✍ Louis H. Ederington; Jeremy C. Goh πŸ“‚ Article πŸ“… 1999 πŸ› Springer US 🌐 English βš– 111 KB