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

Erstveröffentlichung
2017Authors
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.2016.11.006Faculties
Fakultät für Mathematik und WirtschaftswissenschaftenInstitutions
PhD Training Programme 1100Subject 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