SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Market Price of Variance Risk and Performance of Hedge Funds · Study

PreprintShelves

PreprintMarket Price of Variance Risk and Performance of Hedge Funds

Oleg Bondarenko2005

OA

Preprintgreen2005

Market Price of Variance Risk and Performance of Hedge Funds

Oleg Bondarenko

124 citations·0/0 files stored·SSRN Electronic Journal

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 124 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1987The Pricing of Options on Assets with Stochastic Volatilities 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1997Empirical Performance of Alternative Option Pricing Models 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 2002The jump-risk premia implicit in options: evidence from an integrated time-series study 2003The Impact of Jumps in Volatility and Returns

Cited by

2009Realized Volatility 2005Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation 2018Do Hedge Funds Exploit Rare Disaster Concerns?2009Expected Stock Returns and Variance Risk Premia 2006Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation 2013When There Is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2013Forecasting with Option-Implied Informationchapter · 22 shared references 2014Variance trading and market price of variance riskarticle · 22 shared references 2009Stochastic Volatilityother · 21 shared references 2004Variance Risk Premiapreprint · 18 shared references 2010The Econometrics of Option Pricingchapter · 18 shared references 2004Option-Implied Risk-Neutral Distributions and Risk Aversionbook · 17 shared references

Details

Year2005

Typepreprint

Published2005-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations124

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.2139/ssrn.542182

openalex_workW1586926262

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2010Variance Risk Premia in Energy Commodities

2010When There is No Place to Hide - Correlation Risk and the Cross-Section of Hedge Fund Returns