Title

Skewness and option bounds: Short variance swaps and variance risk premium

Publication Type

Journal Article

Publication Date

2014

Abstract

Semi-parametric upper bounds for option prices and expected payoffs are derived for call options. These bounds depend only on the first three moments and not on the underlying stock distribution in general. Bounds on variance default swaps, a new asset, are derived.

Keywords

semi-parametric, bounds, options, skewness, variance risk, swaps

Discipline

Finance and Financial Management | Management Sciences and Quantitative Methods

Research Areas

Quantitative Finance

Publication

Review of Quantitative Finance and Accounting

First Page

1

Last Page

27

ISSN

0924-865X

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