Jump and volatility risk premiums implied by VIX

• Main Authors: Duan, J.-C., Yeh, C.-Y.
• Other Authors: FINANCE
• Format: Article
• Published: 2013
• Subjects: Constant elasticity of variance; Jump; Model-free volatility; Options; Stochastic volatility; VIX
• Online Access: http://scholarbank.nus.edu.sg/handle/10635/44422
• Institution: National University of Singapore

10.1016/j.jedc.2010.05.006