Home » Posts tagged 'Variance Swaps'
Tag Archives: Variance Swaps
Variance Risk Premium Dynamics: The Impact of Asset Price Jumps on Variance Risk Premia
By Jackson Pfeiffer This paper utilizes the high-frequency stock price data and the corresponding daily option price data of several highly capitalized corporations in order to investigate the impact that asset price jumps of individual equities have on the equities’ respective variance risk premia. The findings of this paper describe many characteristics of the variance […]