Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
Ana González-Urteaga, Belén Nieto and Gonzalo Rubio
| Year of publication: |
2021
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|---|---|
| Authors: | González-Urteaga, Ana ; Nieto Domenech, Belen ; Rubio, Gonzalo |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 5, p. 713-727
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| Subject: | Cross-section of expected returns | Exact expected returns | Out-of-sample stochastic discount factor | Risk-neutral variance | Risikoprämie | Risk premium | Diskontierung | Discounting | CAPM | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process | Erwartungsbildung | Expectation formation | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2020.1813903 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012500184