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

Erstveröffentlichung

2017

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Wissenschaftlicher Artikel

Authors

Kiesel, Ruediger

Rahe, Florentin

Faculties

Fakultät für Mathematik und Wirtschaftswissenschaften

Institutions

PhD Training Programme 1100

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

Keywords

Pricing kernel; Option pricing; Implied risk premium; Value-at-Risk forecast; stochastic volatility; valuation; kernels; premia; prices

Dewey Decimal Group

DDC 330 / Economics

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