Jump to content

Volatility risk premium

Add links
From Wikipedia, the free encyclopedia

This is an old revision of this page, as edited by Magic links bot (talk | contribs) at 06:44, 4 July 2017 (Replace magic links with templates per local RfC and MediaWiki RfC). The present address (URL) is a permanent link to this revision, which may differ significantly from the current revision.

In mathematical finance, the volatility risk premium is a measure of the extra amount investors demand in order to hold a volatile security, above what can be computed based on expected returns.

It can be defined as the compensation for inherent volatility risk divided by the volatility beta.[1]

Bibliography

  • Options and the Volatility Risk Premium by Jared Woodard 2011, Financial Times Press ASIN B004JN0UIQ

References

  1. ^ Stochastic volatility and the pricing of financial derivatives by Antoine Petrus Cornelius van der Ploeg 2006, University of Amsterdam ISBN 90-5170-577-8 page 256
Retrieved from "https://en.wikipedia.org/w/index.php?title=Volatility_risk_premium&oldid=788911664"