Variance premium and implied volatility in a low-liquidity option market
Eduardo Sanchez Astorino, Fernando Chague, Bruno Giovannetti, Marcos Eugênio da Silva
| Year of publication: |
Jan-Mar 2017
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| Authors: | Astorino, Eduardo Sanchez ; Chague, Fernando ; Giovannetti, Bruno ; Silva, Marcos Eugênio da |
| Published in: |
Revista brasileira de economia : RBE ; publicação de Fundação Getúlio Vargas. - Rio de Janeiro : Fundação Getúlio Vargas, ISSN 1806-9134, ZDB-ID 2105183-5. - Vol. 71.2017, 1, p. 3-28
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| Subject: | Volatility Index | Predictability | Risk Aversion | Equity Variance Premium | Volatilität | Volatility | Risikoprämie | Risk premium | Optionsgeschäft | Option trading | Risikoaversion | Risk aversion | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Optionspreistheorie | Option pricing theory | Index | Index number | Index-Futures | Index futures | Derivat | Derivative | Varianzanalyse | Analysis of variance |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Zusammenfassung in portugiesischer Sprache |
| Other identifiers: | 10.5935/0034-7140.20170001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011898770