The Market Price of Volatility Risk and the Dynamics of Market and Actuarial Implied Volatilities

Riccardo Rebonato

doi:10.3905/jod.2017.24.4.021

Article

The Market Price of Volatility Risk and the Dynamics of Market and Actuarial Implied Volatilities

Riccardo Rebonato

The Journal of Derivatives Summer 2017, 24 (4) 21-51; DOI: https://doi.org/10.3905/jod.2017.24.4.021

Riccardo Rebonato

is a professor of finance at EDHEC Business School and a member of EDHEC Risk Institute in Nice, France

Find this author on Google Scholar
Find this author on PubMed
Search for this author on this site

Article
Info & Metrics
PDF (Subscribers Only)

PreviousNext

Explore our content to discover more relevant research

By topic
Across journals
From the experts
Monthly highlights
Special collections

In this issue

The Journal of Derivatives

Vol. 24, Issue 4

Summer 2017

Table of Contents
Index by author

Download PDF

Article Alerts

User Name *

Password *

Email *

Email Article

Thank you for your interest in spreading the word on The Journal of Derivatives.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Your Email *

Your Name *

Send To *

Enter multiple addresses on separate lines or separate them with commas.

You are going to email the following The Market Price of Volatility Risk and the Dynamics of Market and Actuarial Implied Volatilities

Message Subject (Your Name) has sent you a message from The Journal of Derivatives

Message Body (Your Name) thought you would like to see the The Journal of Derivatives web site.

Your Personal Message

CAPTCHA

This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.

Citation Tools

The Market Price of Volatility Risk and the Dynamics of Market and Actuarial Implied Volatilities

Riccardo Rebonato

The Journal of Derivatives May 2017, 24 (4) 21-51; DOI: 10.3905/jod.2017.24.4.021

Citation Manager Formats

BibTeX
Bookends
EasyBib
EndNote (tagged)
EndNote 8 (xml)
Medlars
Mendeley
Papers
RefWorks Tagged
Ref Manager
RIS
Zotero

Save To My Folders

User Name *

Password *

Remember my user name & password.

The Market Price of Volatility Risk and the Dynamics of Market and Actuarial Implied Volatilities

Riccardo Rebonato

The Journal of Derivatives May 2017, 24 (4) 21-51; DOI: 10.3905/jod.2017.24.4.021

Share This Article:

Tweet Widget Facebook Like

Jump to section

Article
Info & Metrics
PDF (Subscribers Only)
PDF (Subscribers Only)

Cited By...

What Does Todays Smile Imply About Future Volatilities?
A Financially Motivated Extension of the Heston Model for a Joint P- and Q-Dynamics Analysis of Variance

Google Scholar

Main menu

User menu

Search

The Journal of Derivatives

The Market Price of Volatility Risk and the Dynamics of Market and Actuarial Implied Volatilities

Explore our content to discover more relevant research

In this issue

Citation Manager Formats

Similar Articles

Cited By...

More in this TOC Section

MORE FROM PMR

INFORMATION FOR

GET INVOLVED

Main menu

User menu

Search

The Market Price of Volatility Risk and the Dynamics of Market and Actuarial Implied Volatilities

Explore our content to discover more relevant research

In this issue

Citation Manager Formats

Jump to section

Similar Articles

Cited By...

More in this TOC Section

Stay Connected