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Options and the Volatility Risk Premium

Book Description

Master the new edge in options trades: the hidden volatility risk premium that exists in options for every major asset class.

One of the most exciting areas of recent financial research has been the study of how the volatility implied by option prices relates to the volatility exhibited by their underlying assets. Here, I’ll explain the concept of the volatility risk premium, present evidence for its presence in options on every major asset class, and show how to estimate, predict, and trade on it....