Sökning: "Joso Saric"

Hittade 1 uppsats innehållade orden Joso Saric.

  1. 1. Variance Risk Premiums on the OMXS30 and S&P 500

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Magnus Petersson; Joso Saric; [2008]
    Nyckelord :variance; risk premium; variance swap; option; OTC;

    Sammanfattning : In this thesis we analyze and quantify the variance risk premium, defined as the average difference between realized variance and its risk-neutral expectation. The risk-neutral expectation is obtained by using the notion of a variance swap, a contract that pays the difference between realized variance and a predetermined variance swap rate. LÄS MER