The pricing of idiosyncratic risk : evidence from the implied volatility distribution
Stephan Süss
| Year of publication: |
2012
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|---|---|
| Authors: | Süss, Stephan |
| Published in: |
Financial markets and portfolio management. - Heidelberg [u.a.] : Springer, ISSN 1934-4554, ZDB-ID 2052480-8. - Vol. 26.2012, 2, p. 247-267
|
| Subject: | Idiosyncratic risk | Implied volatility | Implied skewness | Principal portfolios | Random matrix theory | Volatilität | Volatility | Risiko | Risk | Portfolio-Management | Portfolio selection | Börsenkurs | Share price | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009553644