Ziegler

Fakultäten » Wirtschaftswissenschaftliche Fakultät » Banking und Finance, Institut für » Prof. Dr. Alexandre Ziegler » Ziegler

Current research project

Title / Titel	The Pricing of Systematic and Idiosyncratic Variance Risk and the Cross-Section of Variance Risk Premia
PDF	Abstract (PDF, 14 KB)
Summary / Zusammenfassung	We investigate the pricing of systematic and idiosyncratic variance risk. We show that both systematic and idiosyncratic variance risk are heavily priced, the former negatively and the latter positively. This finding explains not only the discrepancy between index and single stock option prices, but also several patterns in the cross-section of single stock option prices, some of which have been reported in the literature, and new ones that we document.
Project leadership and contacts / Projektleitung und Kontakte	Prof. Dr. Alexandre Ziegler (Project Leader) alexandre.ziegler@bf.uzh.ch
Funding source(s) / Unterstützt durch	Universität Zürich (position pursuing an academic career)
In collaboration with / In Zusammenarbeit mit	Prof. Dr. Norman Schürhoff Institut de Banque et Finance Université de Lausanne Bâtiment Extranef 1015 Lausanne Switzerland
Duration of Project / Projektdauer	Sep 2009 to Dec 2013