Option pricing under time-varying risk-aversion with applications to risk forecasting

Rüdiger Kiesel, Florentin Rahe

Year of publication:	March 2017
Authors:	Kiesel, Rüdiger ; Rahe, Florentin
Published in:	Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 76.2017, p. 120-138
Subject:	Pricing kernel \| Option pricing \| Implied risk premium \| Value-at-Risk forecast \| Optionspreistheorie \| Option pricing theory \| Risikoprämie \| Risk premium \| Risikomaß \| Risk measure \| Prognoseverfahren \| Forecasting model \| Risiko \| Risk \| Optionsgeschäft \| Option trading \| Risikoaversion \| Risk aversion \| Black-Scholes-Modell \| Black-Scholes model \| Stochastischer Prozess \| Stochastic process \| CAPM \| Volatilität \| Volatility \| ARCH-Modell \| ARCH model

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10011814247

A service of the