The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium

Louis H. Ederington; Wei Guan

Year of publication:	2013
Authors:	Ederington, Louis H. ; Guan, Wei
Published in:	Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 9, p. 3388-3400
Subject:	Implied volatility \| Volatility smile \| Variance risk premium \| GARCH \| Conditional heteroskedasticity \| Volatilität \| Volatility \| Risikoprämie \| Risk premium \| ARCH-Modell \| ARCH model \| Optionspreistheorie \| Option pricing theory \| Heteroskedastizität \| Heteroscedasticity \| Börsenkurs \| Share price \| Optionsgeschäft \| Option trading

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