Volatility Risk Pricing
The paper recommends using variance-dependent pricing kernels for option valuation, as they resolve anomalies, fit options well, and provide accurate estimates of equity and variance risk premiums.
Featured in No. 44 on 10 Apr 2024 ·
- Released
- 8 Feb 2022
- First featured
- No. 44 · 10 Apr 2024
- Published in
- Not yet, as far as Semantic Scholar knows
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- Identifier
- SSRN 4785760
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