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Documents 증권학회 변동성 skew

한국증권학회지 제41권 2호 (2012) 189-231 변동성 스큐를 통한 주가지수 점프예측력 검증* 김 솔 (한국외국어대학교) 박 혜 현 (고려대학교)…

Economy & Finance High Equity Risk Premium in a Low Volatility World

1. INVESTMENT STRATEGYGLOBAL EQUITY RESEARCH & MACRO UNITED STATESU.S. Strategy High Equity Risk Premium in a Low Volatility World In a post-bubble equity environment,…

Documents Identifying Rich And Cheap Implied Volatility12 20 2005

Lehman Brothers does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of…

Economy & Finance Factor Structure in Equity Options

1. Factor Structure in Equity Options Peter Christoffersen (Rotman School, CBS and CREATES) Mathieu Fournier (University of Toronto, PhD student) Kris Jacobs (University…

Documents 1 On the Term Structure of Model-Free Volatilities and Volatility Risk Premium Kian Guan LIM and...

Slide 1 1 On the Term Structure of Model-Free Volatilities and Volatility Risk Premium Kian Guan LIM and Christopher TING Singapore Management University Slide 2 2 Motivations…