The Influence of Tracking Error on Volatility Premium Estimation
A 2005 paper by Doran on the volatility risk premium in volatility and options, using a mathematical derivation: the abstract mentions excess returns and leaves out a benchmark, an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“Using a sample of S&P 100 and natural gas contracts, empirical tests reveal that the delta-gamma hedged strategy outperforms zero and the degree of over-performance is proportional to the level of volatility.”
AssetVolatility and optionsoptions
StrategyVolatility risk premiumoptions strategies
TechniqueMathematical derivation
ClaimExcess return
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
Institutional-grade audit of this strategy.
£5 — Request the audit- Audit of the paper claims accounting for costs, luck, crises, originality, geography, etc.
- Reproduction code integratable into Bloomberg, IBKR, etc.
- Bias-free datasets for backtesting included
- Delivered in 2 working days
The paper's neighbourhoodVolatility risk premium by year
FamilyVolatility risk premium102Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 900
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
| Stochastic Dominance, Stochastic Volatility and the Prices of Volatility and Jump Risk by Perrakis | 2022 | ||||
| Realized GARCH, CBOE VIX, and the Volatility Risk Premium by Hansen et al. | 2021 | ||||
| Relative pricing and risk premia in equity volatility markets by Van Tassel | 2018 | ||||
| Expected Option Returns by Shumway and Coval | 1999 | ||||
| The Clock Matters: Time Measurement and the Ultra-Short Volatility Term Structure by Bondarenko | 2026 |