Swaption and term structures of volatility risk premiums
The research investigates volatility risk premiums in the swaption market, concluding that a strategy that takes on both volatility and jump risks yields a higher Sharpe ratio during periods of low interest rates.
Featured in No. 20 on 12 Oct 2023 · 2 days after release · 0 citations today
- Released
- 10 Oct 2023
- First featured
- No. 20 · 12 Oct 2023
- Citations (Semantic Scholar)
- 0
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 4597776
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