SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

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

Variance Risk Premia · Study

PreprintShelves

PreprintVariance Risk Premia

Liuren Wu2004

OA

Preprintgreen2004

Variance Risk Premia

Liuren Wu · Peter Carr

138 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

Stochastic processes and financial applications Financial Markets and Investment Strategies 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 — 138 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 1976Option pricing when underlying stock returns are discontinuous 2003Modeling and Forecasting Realized Volatility

Cited by

2008Robust Replication of Volatility Derivatives 2008Liquidity and Financial Cycles 2007On the Role of Risk Premia in Volatility Forecasting 2011Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios 2009The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks

Related works

Explore the map →

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

2009Stochastic Volatilityother · 30 shared references 2013Capturing Option Anomalies with a Variance-Dependent Pricing Kernelarticle · 22 shared references 2013Forecasting with Option-Implied Informationchapter · 22 shared references 2010Parametric and Nonparametric Volatility Measurementchapter · 21 shared references 2007On the Role of Risk Premia in Volatility Forecastingarticle · 20 shared references 2010Variance dynamics: Joint evidence from options and high-frequency returnsarticle · 19 shared references

Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations138

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.2139/ssrn.577222

openalex_workW1751500752

Links

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

2008

Computing the market price of volatility risk in the energy commodity markets

2011How do investors react under uncertainty?

2014Variance trading and market price of variance risk