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Variance risk premiums
Peter Carr, Liuren Wu
Finance and Risk Engineering
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Keyphrases
Variance Risk Premium
100%
Variance Swap
75%
Risk-neutral
25%
Realized Variance
25%
Option Data
25%
Stock Index
25%
Financial Assets
25%
Individual Stocks
25%
Historical Behavior
25%
Economics, Econometrics and Finance
Risk Premium
100%
Robust Statistics
25%
Stock Index
25%