Implied Volatility and Risk Aversion in A Simple Model with Uncertain Growth

We show that a simple equilibrium model with uncertain growth is able to simultaneously generate patterns in implied volatility and risk aversion that are similar to the ones observed in the data. In addition, the model produces an implied pricing kernel that is increasing for particular levels of wealth.

MoreLess

Year of publication:	2006-11-01
Authors:	Lundtofte, Frederik
Institutions:	Institut für Schweizerisches Bankwesen <Zürich>
Subject:	Optionspreistheorie \| Volatilität \| Risikoverhalten \| Unsicherheit

More details

Extent:	21 p. application/pdf
Series:	Institut für Schweizerisches Bankwesen Zürich - Working Paper Series Working Paper ; 300 (2006)
Type of publication:	Book / Working Paper
Language:	English
Classification:	C13 - Estimation ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; Corporate finance and investment policy. General ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005858509