The term structure of the price of variance risk
Year of publication: |
2015
|
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Authors: | Andries, Marianne ; Eisenbach, Thomas ; Schmalz, Martin ; Wang, Yichuan |
Publisher: |
New York, NY : Federal Reserve Bank of New York |
Subject: | volatility risk | option returns | straddle | term structure |
Series: | Staff Report ; 736 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 832838705 [GVK] hdl:10419/120792 [Handle] |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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The term structure of the price of variance risk
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The term structure of the price of variance risk
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