Variance trading and market price of variance risk
Oleg Bondarenko
| Year of publication: |
2014
|
|---|---|
| Authors: | Bondarenko, Oleg |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 180.2014, 1, p. 81-97
|
| Subject: | Variance risk | Option valuation | Risk-neutral density | Stochastic volatility | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Varianzanalyse | Analysis of variance | Börsenkurs | Share price | Risikoprämie | Risk premium | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Hedging | Risiko | Risk | Optionsgeschäft | Option trading | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010379480