Volatility Disagreement and Equilibrium Volatility Trading
A model is created to understand how investors' disagreement on future volatility affects their trading of volatility derivatives, showing that trading decreases in more volatile periods and the variance risk premium can become positive when future volatility is underestimated.
Featured in No. 25 on 8 Nov 2023 · 2 days after release · 0 citations today
- Released
- 6 Nov 2023
- First featured
- No. 25 · 8 Nov 2023
- Citations (Semantic Scholar)
- 0
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 4624158
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).