Bond Variance Risk Premiums*
نویسندگان
چکیده
منابع مشابه
Variance Risk Premiums
We propose a direct and robust method for quantifying the variance risk premium on financial assets. We show that the risk-neutral expected value of return variance, also known as the variance swap rate, is well approximated by the value of a particular portfolio of options.We propose to use the difference between the realized variance and this synthetic variance swap rate to quantify the varia...
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ژورنال
عنوان ژورنال: Review of Finance
سال: 2017
ISSN: 1572-3097,1573-692X
DOI: 10.1093/rof/rfw072