Skewness and option bounds: Short variance swaps and variance risk premium
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.
semi-parametric, bounds, options, skewness, variance risk, swaps
Finance and Financial Management | Management Sciences and Quantitative Methods
Review of Quantitative Finance and Accounting
Huang, Junying and Jordan, S..
Skewness and option bounds: Short variance swaps and variance risk premium. (2014). Review of Quantitative Finance and Accounting. 1-27. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/3654