Quantifying the Variance Risk Premium in VIX Options
This thesis uses synthetically created variance swaps on VIX futures to quantify the variance risk premium in VIX options. The results of this methodology suggest that the average premium is -3.26%, meaning that the realized variance on VIX futures is on average less than the variance implied by th...
| Main Author: | |
|---|---|
| Format: | Others |
| Published: |
Scholarship @ Claremont
2011
|
| Subjects: | |
| Online Access: | http://scholarship.claremont.edu/cmc_theses/147 http://scholarship.claremont.edu/cgi/viewcontent.cgi?article=1157&context=cmc_theses |