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

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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書目詳細資料
Main Authors:	Huang, Junying, Jordan, S.
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2014
主題:	semi-parametric bounds options skewness variance risk swaps Finance and Financial Management Management Sciences and Quantitative Methods
在線閱讀:	https://ink.library.smu.edu.sg/lkcsb_research/3654
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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