Jump and variance risk premia in the S&P 500
Maximilian Neumann, Marcel Prokopczuk, Chardin Wese Simen
| Year of publication: |
August 2016
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|---|---|
| Authors: | Neumann, Maximilian ; Prokopczuk, Marcel ; Wese Simen, Chardin |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 69.2016, p. 72-83
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| Subject: | Equity risk premium | Jump risk premium | Variance risk premium | S&P 500 | Options | Markov Chain Monte Carlo | Risikoprämie | Risk premium | Markov-Kette | Markov chain | Theorie | Theory | Schätzung | Estimation | Börsenkurs | Share price | Monte-Carlo-Simulation | Monte Carlo simulation | Kapitaleinkommen | Capital income | Optionsgeschäft | Option trading | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2016.03.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011635040