Implied risk aversion and pricing kernel in the FTSE 100 index
Year of publication: |
2020
|
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Authors: | Liao, Wen Ju ; Sung, Hao-Chang |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 54.2020, p. 1-14
|
Subject: | Risk aversion | Risk neutral density | Positive convolution approximation | Pricing kernel | Pricing kernel puzzle | Volatility smile | Risikoaversion | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | CAPM | Core | Anlageverhalten | Behavioural finance | Statistische Verteilung | Statistical distribution | Börsenkurs | Share price |
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