Download This PaperOption Bounds for Short Variance Swaps and the Variance Risk Premium Adjusting for Skewness
30 Pages Posted: 12 Dec 2012
Date Written: December 11, 2012
Abstract
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
Jordan, Steven J. and Huang, Shirley J., Option Bounds for Short Variance Swaps and the Variance Risk Premium Adjusting for Skewness (December 11, 2012). Available at SSRN: https://ssrn.com/abstract=2188172 or http://dx.doi.org/10.2139/ssrn.2188172
Shirley J. Huang
Singapore Management University - Lee Kong Chian School of Business ( email )
469 Bukit Timah Road
Singapore 912409
Singapore
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