Variance Risk Premiums

被引:609
作者
Carr, Peter [2 ]
Wu, Liuren [1 ]
机构
[1] CUNY, Baruch Coll, Zicklin Sch Business, Dept Econ & Finance, New York, NY 10010 USA
[2] NYU, Bloomberg LP & Courant Inst, New York, NY 10003 USA
关键词
G10; G12; G13; MAXIMUM-LIKELIHOOD-ESTIMATION; STOCHASTIC VOLATILITY; OPTION PRICES; RETURNS; MARKET; PERFORMANCE; DIFFUSIONS; IMPLICIT; ASSETS; MODELS;
D O I
10.1093/rfs/hhn038
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We propose a direct and robust method for quantifying the variance risk premium on financial assets. We show that the risk-neutral expected value of return variance, also known as the variance swap rate, is well approximated by the value of a particular portfolio of options. We propose to use the difference between the realized variance and this synthetic variance swap rate to quantify the variance risk premium. Using a large options data set, we synthesize variance swap rates and investigate the historical behavior of variance risk premiums on five stock indexes and 35 individual stocks.
引用
收藏
页码:1311 / 1341
页数:31
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