Skewness and option bounds: Short variance swaps and variance risk premium

Semi-parametric upper bounds for option prices and expected payoffs are derived for call options. These bounds depend only on the first three moments and not on the underlying stock distribution in general. Bounds on variance default swaps, a new asset, are derived.

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Bibliographic Details
Main Authors:	Huang, Junying, Jordan, S.
Format:	text
Language:	English
Published:	Institutional Knowledge at Singapore Management University 2014
Subjects:	semi-parametric bounds options skewness variance risk swaps Finance and Financial Management Management Sciences and Quantitative Methods
Online Access:	https://ink.library.smu.edu.sg/lkcsb_research/3654
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Institution:	Singapore Management University
Language:	English

id	sg-smu-ink.lkcsb_research-4653
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spelling	sg-smu-ink.lkcsb_research-46532014-02-04T11:37:58Z Skewness and option bounds: Short variance swaps and variance risk premium Huang, Junying Jordan, S. Semi-parametric upper bounds for option prices and expected payoffs are derived for call options. These bounds depend only on the first three moments and not on the underlying stock distribution in general. Bounds on variance default swaps, a new asset, are derived. 2014-01-01T08:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/3654 Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University semi-parametric bounds options skewness variance risk swaps Finance and Financial Management Management Sciences and Quantitative Methods
institution	Singapore Management University
building	SMU Libraries
continent	Asia
country	Singapore Singapore
content_provider	SMU Libraries
collection	InK@SMU
language	English
topic	semi-parametric bounds options skewness variance risk swaps Finance and Financial Management Management Sciences and Quantitative Methods
spellingShingle	semi-parametric bounds options skewness variance risk swaps Finance and Financial Management Management Sciences and Quantitative Methods Huang, Junying Jordan, S. Skewness and option bounds: Short variance swaps and variance risk premium
description	Semi-parametric upper bounds for option prices and expected payoffs are derived for call options. These bounds depend only on the first three moments and not on the underlying stock distribution in general. Bounds on variance default swaps, a new asset, are derived.
format	text
author	Huang, Junying Jordan, S.
author_facet	Huang, Junying Jordan, S.
author_sort	Huang, Junying
title	Skewness and option bounds: Short variance swaps and variance risk premium
title_short	Skewness and option bounds: Short variance swaps and variance risk premium
title_full	Skewness and option bounds: Short variance swaps and variance risk premium
title_fullStr	Skewness and option bounds: Short variance swaps and variance risk premium
title_full_unstemmed	Skewness and option bounds: Short variance swaps and variance risk premium
title_sort	skewness and option bounds: short variance swaps and variance risk premium
publisher	Institutional Knowledge at Singapore Management University
publishDate	2014
url	https://ink.library.smu.edu.sg/lkcsb_research/3654
_version_	1770571748890116096

Skewness and option bounds: Short variance swaps and variance risk premium

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