Risk aversion, fanning preference and volatility smirk on S&P 500 index options
Jian Chen and Chenghu Ma
| Year of publication: |
Jul-Aug 2016
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|---|---|
| Authors: | Chen, Jian ; Ma, Chenghu |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 48.2016, 34/36, p. 3277-3292
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| Subject: | Recursive utility | fanning effect | jump risk | option smirk | Volatilität | Volatility | Risikoaversion | Risk aversion | Optionspreistheorie | Option pricing theory | Index-Futures | Index futures | Risiko | Risk | Optionsgeschäft | Option trading | CAPM | Konsumentenverhalten | Consumer behaviour | Erwartungsnutzen | Expected utility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2015.1137548 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011617231