Modeling conditional factor risk premia implied by index option returns
Mathieu Fournier, Kris Jacobs, Piotr Orłowski
| Year of publication: |
2024
|
|---|---|
| Authors: | Fournier, Mathieu ; Jacobs, Kris ; Orłowski, Piotr |
| Subject: | Risikoprämie | Risk premium | Kapitaleinkommen | Capital income | Index-Futures | Index futures | Optionspreistheorie | Option pricing theory | CAPM | Aktienindex | Stock index | Risiko | Risk | Schätzung | Estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/jofi.13324 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014535668