Notice: file_put_contents(): Write of 65372 bytes failed with errno=28 No space left on device in /opt/frankenphp/design.onmedianet.com/app/src/Arsae/CacheManager.php on line 36

Warning: http_response_code(): Cannot set response code - headers already sent (output started at /opt/frankenphp/design.onmedianet.com/app/src/Arsae/CacheManager.php:36) in /opt/frankenphp/design.onmedianet.com/app/src/Models/Response.php on line 17

Warning: Cannot modify header information - headers already sent by (output started at /opt/frankenphp/design.onmedianet.com/app/src/Arsae/CacheManager.php:36) in /opt/frankenphp/design.onmedianet.com/app/src/Models/Response.php on line 20
Volatility risk premium - Wikipedia Jump to content

Volatility risk premium

Add links
From Wikipedia, the free encyclopedia

In mathematical finance, the volatility risk premium [1] 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. [2]

References

[edit]
  1. ^ Jared Woodard (2011). Options and the Volatility Risk Premium. Financial Times Press. ASIN B004JN0UIQ
  2. ^ Antoine Petrus Cornelius van der Ploeg (2006).Stochastic volatility and the pricing of financial derivatives. University of Amsterdam. ISBN 90-5170-577-8 page 256
Stub icon

This finance-related article is a stub. You can help Wikipedia by expanding it.

Retrieved from "https://en.wikipedia.org/w/index.php?title=Volatility_risk_premium&oldid=1218024330"