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Quantitative Finance · Begrippenlijst

Wat is Variance risk premium?

Definition 14.12 Derivatives and Volatility · Hoofdstuk 14 — Variance Swaps and Volatility Derivatives

The variance risk premium is the difference between the variance-swap strike and the expected realised variance under the real-world measure, K2−EP[σR2]K^2-\E^{\mathbb P}[\sigma_R^2] (some authors use the opposite sign). It is what the seller of variance earns on average for bearing the risk of variance spikes.

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