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- W3124939684 abstract "This paper provides an empirical investigation of the variance process and the market price of variance risk in the foreign currency options market. There are three principal contributions. First, the parameters of Heston's (1993) mean-reverting square root stochastic volatility model are estimated using dollar/mark option prices from 1987 to 1992. Second, it is shown that these implied parameters can be combined with historical moments of the dollar/mark exchange rate to deduce an estimate of the market price of variance risk. These estimates are found to be nonzero, time varying, and of sufficient magnitude to imply that the compensation for variance risk is a significant component of the risk premia in the currency market. Finally, the out-of-sample test suggests that the historical variance and the Hull and White (1987) variance contain no additional information beyond that imbedded in the Heston variance." @default.
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- W3124939684 date "1997-01-01" @default.
- W3124939684 modified "2023-09-25" @default.
- W3124939684 title "The Risk Premium of Volatility Implicit in Currency Options" @default.
- W3124939684 doi "https://doi.org/10.2139/ssrn.15109" @default.
- W3124939684 hasPublicationYear "1997" @default.
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