A theory of volatility spreads

Management Science

Volumn 52, Issue 12, 2006, Pages 1945-1956

  Bakshi, Gurdip ^a   Madan, Dilip ^a  

^a UNIVERSITY OF MARYLAND   (United States)

Author keywords

Physical return moments; Pricing kernel; Risk aversion; Risk neutral volatility; Spanning risk neutral moments; Volatility spreads

Indexed keywords

PHYSICAL RETURN MOMENTS; PRICING KERNEL; RISK AVERSION; RISK NEUTRAL VOLATILITY; SPANNING RISK NEUTRAL MOMENTS; VOLATILITY SPREADS;

INDUSTRIAL ECONOMICS; INVESTMENTS; MARKETING; PARAMETER ESTIMATION;

RISK MANAGEMENT;

EID: 33845538990     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.1060.0579     Document Type: Article

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