Option Bounds for Short Variance Swaps and the Variance Risk Premium Adjusting for Skewness
30 Pages Posted: 12 Dec 2012
Date Written: December 11, 2012
Skewness is specifically considered to develop semi-parametric upper bounds for option prices and expected payoﬀs for call options. Bounds on variance default swaps, a new asset, and for the variance risk premium are derived.
The Technical Proof for this paper is available at the following URL: http://ssrn.com/abstract=2195930
Keywords: options, bounds, parametric, skewness, moments, expected, payoffs, variance, swaps, default, risk, premium
JEL Classification: C14, D84, G10, G12, G13
Suggested Citation: Suggested Citation