The Froot and Stein Model Revisited

We investigate the model of Froot and Stein (1998), a model that has very strong implications for risk management. We argue that their conclusions are too strong and need to be qualified. Also, there are some unusual consequences of their model, which may be linked to the chosen pricing formula.

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Year of publication:	2004-01-15
Authors:	Hogh, Nils ; Linton, Oliver ; Nielsen, Jens
Institutions:	EconWPA
Subject:	G20 and G31 and G32

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Extent:	application/pdf
Series:	Finance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; prepared on win2000; to print on HP;
Classification:	G - Financial Economics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005134935