Option Bounds for Short Variance Swaps and the Variance Risk Premium Adjusting for Skewness

Skewness is specifically considered to develop semi-parametric upper bounds for option prices and expected payoﬀs for call options. Bounds on variance default swaps, a new asset, and for the variance risk premium are derived.The Technical Proof for this paper is available at the following URL: "http://ssrn.com/abstract=2195930" http://ssrn.com/abstract=2195930

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Year of publication:	2013
Authors:	Jordan, Steven J.
Other Persons:	Huang, Shirley J. (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Risikoprämie \| Risk premium \| Swap \| Theorie \| Theory \| Optionsgeschäft \| Option trading \| Derivat \| Derivative \| Volatilität \| Volatility

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