Option Bounds for Short Variance Swaps and the Variance Risk Premium Adjusting for Skewness

30 Pages Posted: 12 Dec 2012

See all articles by Steven J. Jordan

Steven J. Jordan

Econometric Solutions

Shirley J. Huang

Singapore Management University - Lee Kong Chian School of Business

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

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

Steven J. Jordan (Contact Author)

Econometric Solutions ( email )

3520 Fossil Park Dr.
Fort Worth, TX NA 76137
United States

Shirley J. Huang

Singapore Management University - Lee Kong Chian School of Business ( email )

469 Bukit Timah Road
Singapore 912409
Singapore

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