SZodixStudyAcademic Library

Shelves Open access

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

Variance trading and market price of variance risk · Study

ArticleShelves

ArticleVariance trading and market price of variance risk

Oleg Bondarenko2014

OA

Articlegreen2014

Variance trading and market price of variance risk

Oleg Bondarenko

96 citations·0/0 files stored·Journal of Econometrics

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 — 96 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1993Common risk factors in the returns on stocks and bonds 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 1976Option pricing when underlying stock returns are discontinuous 2003Liquidity Risk and Expected Stock Returns 2006The Cross‐Section of Volatility and Expected Returns 1987The Pricing of Options on Assets with Stochastic Volatilities

Cited by

2007Construction and Interpretation of Model-Free Implied Volatility 2013Model-Free Volatility Indexes in the Financial Literature: A Review 2008Crises and Hedge Fund Risk 2012Model-independent hedging strategies for variance swaps 2007Construction and Interpretation of Model-Free Implied Volatility 2011Bond Variance Risk Premia

Related works

Explore the map →

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

2009Stochastic Volatilityother · 24 shared references 2005Market Price of Variance Risk and Performance of Hedge Fundspreprint · 22 shared references 2013Forecasting with Option-Implied Informationchapter · 21 shared references 2020Option-Implied Correlations and the Price of Correlation Riskpreprint · 21 shared references 2004Variance Risk Premiapreprint · 17 shared references 2015The role of the variance premium in Jump-GARCH option pricing modelsarticle · 17 shared references

Details

Year2014

Typearticle

Published2014-02-25

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations96

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.jeconom.2014.02.001

openalex_workW3121966384

Links

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

2015Generalized risk premia

2020The Skewness of the Stock Market over Long Horizons