The price of the smile and variance risk premia
Peter H. Gruber, Claudio Tebaldi, Fabio Trojani
| Year of publication: |
2021
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|---|---|
| Authors: | Gruber, Peter H. ; Tebaldi, Claudio ; Trojani, Fabio |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 67.2021, 7, p. 4056-4074
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| Subject: | price of the smile | price of volatility | factor models | matrix jump diffusions | option pricing | stochastic volatility | unspanned skewness | financial constraints | financial intermediation | financial crisis | variance swaps | skew swaps | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Swap | Risikoprämie | Risk premium | Stochastischer Prozess | Stochastic process | Finanzkrise | Financial crisis | Finanzmarkt | Financial market | Börsenkurs | Share price | Schätzung | Estimation |