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doi:10.1055/s-007-33411

Planta Med

2017

DOI: 10.1055/s-007-33411

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Relative Pricing and Risk Premia in Equity Volatility Markets

Tassel

2018

SSRN Journal

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This paper provides empirical evidence that volatility markets are integrated through the timevarying term structure of variance risk premia. These risk premia predict the returns from selling volatility for different horizons, maturities, and products, including variance swaps, straddles, and VIX futures. In addition, the paper derives a closed-form relationship between the prices of variance swaps and VIX futures. While tightly linked, VIX futures exhibit deviations of varying significance from the no-arbitrage prices and bounds implied by the variance swap market. The paper examines these pricing errors and their relationship to VIX futures' return predictability.

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Relative Pricing and Risk Premia in Equity Volatility Markets

Tassel

2018

SSRN Journal

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Cited by 1 publication

References 116 publications

Relative Pricing and Risk Premia in Equity Volatility Markets

Relative Pricing and Risk Premia in Equity Volatility Markets

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