Variance swap payoffs, risk premia and extreme market conditions
نویسندگان
چکیده
منابع مشابه
Credit default swap spreads and variance risk premia
0378-4266/$ see front matter 2013 Elsevier B.V. All rights reserved. http://dx.doi.org/10.1016/j.jbankfin.2013.02.021 q We would like to thank Turan Bali, Antje Berndt, Michael Brennan, Darrell Duffie, Robert Geske, Bing Han, Jean Helwege, Robert Jarrow, George Jiang, George Tauchen, Marliese Uhrig-Homburg, Jan Werner, Yelena Larkin, Liuren Wu, Yuhang Xing, and Hong Yan; seminar participants at...
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ژورنال
عنوان ژورنال: Econometrics and Statistics
سال: 2020
ISSN: 2452-3062
DOI: 10.1016/j.ecosta.2019.05.003