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Variance Risk Premium Demystified
Language: en
Pages: 32
Authors: Grigory Vilkov
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Type: BOOK - Published: 2008 - Publisher:

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We study the dynamics and cross-sectional properties of the variance risk premia embedded in options on stocks and indices, approximated by the synthetic varian
Characterizing the Variance Risk Premium
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Authors: Guanglian Hu
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Type: BOOK - Published: 2019 - Publisher:

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A substantial portion of the variation in the market variance risk premium can be explained by the conditional covariance between the market return and its vari
The Variance Risk Premium Around the World
Language: en
Pages:
Authors: Juan M. Londono
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Type: BOOK - Published: 2011 - Publisher:

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Essays on Volatility and Variance Risk Premium
Language: en
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Authors: Xiaoman Su
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Equity Variance Risk Premium on FX
Language: en
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Authors: Chung Ma
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