Variance Risk Premiums

• 成果类型: Article
• 署名作者: Carr, Peter; Wu, Liuren
• 署名单位: City University of New York (CUNY) System; Baruch College (CUNY); New York University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhn038
• 发表日期: 2009
• 页码: 1311
• 关键词: maximum-likelihood-estimation; stochastic volatility; OPTION PRICES; returns; MARKET; performance; DIFFUSIONS; implicit; assets; models

摘要

We propose a direct and robust method for quantifying the variance risk premium on financial assets. We show that the risk-neutral expected value of return variance, also known as the variance swap rate, is well approximated by the value of a particular portfolio of options. We propose to use the difference between the realized variance and this synthetic variance swap rate to quantify the variance risk premium. Using a large options data set, we synthesize variance swap rates and investigate the historical behavior of variance risk premiums on five stock indexes and 35 individual stocks.