Option pricing under time-varying risk-aversion with applications to risk forecasting

Erstveröffentlichung

2017

Authors

Kiesel, Ruediger

Rahe, Florentin

Wissenschaftlicher Artikel

Published in

Journal of Banking and Finance ; 76 (2017). - S. 120-138. - ISSN 0378-4266. - eISSN 1872-6372

Link to publication

https://dx.doi.org/10.1016/j.jbankfin.2016.11.006

Faculties

Fakultät für Mathematik und Wirtschaftswissenschaften

Institutions

PhD Training Programme 1100

Subject headings

[Free subject headings]: Pricing kernel | Option pricing | Implied risk premium | Value-at-Risk forecast | stochastic volatility | valuation | kernels | premia | prices
[DDC subject group]: DDC 330 / Economics

Metadata

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