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.

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Year of publication:	2010-01-13
Authors:	Lundtofte, Frederik
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 30.2010, 1, p. 182-191
Publisher:	AccessEcon
Subject:	parameter uncertainty \| option pricing \| implied volatility \| implied risk aversion

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	G1 - General Financial Markets ; C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008493458