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Filtering by: Keyword dispersion trading Keyword equity options Keyword pairs trading

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Description:: The first chapter of this dissertation investigates the pricing of systematic variance risk in the equity options market. Cross sectional tests on synthetic variance swap returns reveal no evidence of a negative market variance risk premium. Furthermore, we show that a class of linear factor models cannot simultaneously explain index...
Keyword:: dispersion trading, pairs trading, correlation trading, equity options, variance swaps, and volatility forecasting
Subject:: Finance
Creator:: Vadim di Pietro
Owner:: Scholarly Digital Publishing
Date Uploaded:: 08/16/2018
Date Modified:: 08/16/2018
Date Created:: 2007-06-22
Resource Type:: Dissertation

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