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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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2014
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| 在線閱讀: | https://ink.library.smu.edu.sg/lkcsb_research/3654 |
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