Author:
Duyvesteyn Johan,de Zwart Gerben
Subject
Economics and Econometrics,Finance
Reference41 articles.
1. Aït-Sahalia, Y., Karaman, M., Mancini, L., 2012. The term structure of variance swaps, risk premia and the expectation hypothesis, Princeton University, Working paper.
2. Identifying volatility risk premia from fixed income Asian options;Almeida;Journal of Banking and Finance,2009
3. Real price discovery in stock, bond, and foreign exchange markets;Andersen;Journal of International Economics,2007
4. Delta-hedged gains and the negative market volatility risk premium;Bakshi;Review of Financial Studies,2003
5. Hedging under SABR Model;Bartlett;Witmott Magazine,2006
Cited by
12 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献