Reed Hogan

Claremont McKenna College

500 E. Ninth Street

Claremont, CA 91711

United States

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Scholarly Papers (1)

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Quantifying the Variance Risk Premium in VIX Options

Journalof Portfolio Management, Forthcoming, https://doi.org/10.3905/jpm.2012.38.3.143
Posted: 21 May 2019
Amir Barnea and Reed Hogan
HEC Montreal and Claremont McKenna College

Abstract:

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Variance risk premium, VIX, Options