Option valuation with nonmonotonic pricing kernel and embedded volatility component premiums
Hsuan-Ling Chang, Hung-Wen Cheng, Yi-Ding Lei, and Jeffrey Tzuhao Tsai
| Year of publication: |
2023
|
|---|---|
| Authors: | Chang, Hsuan-Ling ; Cheng, Hung-Wen ; Lei, Yi-Ding |
| Subject: | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Black-Scholes-Modell | Black-Scholes model | CAPM | Optionsgeschäft | Option trading | Risikoprämie | Risk premium |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3905/jod.2023.1.184 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014306890