Essays about: "Magnus Petersson"
Found 1 essay containing the words Magnus Petersson.
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1. Variance Risk Premiums on the OMXS30 and S&P 500
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : 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. READ MORE
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