Modeling conditional factor risk premia implied by index option returns
Mathieu Fournier, Kris Jacobs, Piotr Orlowski
| Year of publication: |
November 2021
|
|---|---|
| Authors: | Fournier, Mathieu ; Jacobs, Kris ; Orłowski, Piotr |
| Publisher: |
[Montréal] : [Canadian Derivatives Institute] |
| Subject: | Option Returns | Factor Models | Option-Implied Factor Risk Premia | Time-Varying Exposures | Machine Learning | Risikoprämie | Risk premium | Kapitaleinkommen | Capital income | Optionspreistheorie | Option pricing theory | CAPM | Schätzung | Estimation | Index-Futures | Index futures | Künstliche Intelligenz | Artificial intelligence | Aktienindex | Stock index | Risiko | Risk | Volatilität | Volatility |
| Extent: | 1 Online-Ressource (circa 72 Seiten) Illustrationen |
|---|---|
| Series: | Working paper. - [Montréal] : [Canadian Derivatives Institute], ZDB-ID 3046656-8. - Vol. WP 21, 02 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013328240