Work

Quantifying the Variance Risk Premium in VIX Options

Year: 2012

Type: article

Source: The Journal of Portfolio Management

DOI: 10.3905/jpm.2012.38.3.143

Authors: Amir Barnea, Reed Hogan

Institutions: HEC Montréal, Claremont McKenna College

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2152467124

FWCI: 1.063

Cites: 11

Cited by: 6

Related to: 10