Modeling Variance Risk Premium

Kossi Gnameho (), Juho Kanniainen () and Ye Yue ()
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Kossi Gnameho: Maastricht University, Department of Quantitative Economics
Juho Kanniainen: Tampere University of Technology, Laboratory of Industrial and Engineering Management
Ye Yue: Tampere University of Technology, Laboratory of Industrial and Engineering Management

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2017, pp 129-141 from Springer

Abstract: Abstract The bias between the expected realized variance under the historical measure and the risk neutral probability introduces the concept of the variance risk premium (VRP). Our work introduced a probabilistic modeling of the VRP via a parametric class of stochastic volatility models which incorporates the nonlinear class.

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-50234-2_11

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DOI: 10.1007/978-3-319-50234-2_11

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