The risk premia embedded in index options
Torben G. Andersen, Nicola Fusari, Viktor Todorov
| Year of publication: |
September 2015
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|---|---|
| Authors: | Andersen, Torben ; Fusari, Nicola ; Todorov, Viktor |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 117.2015, 3, p. 558-584
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| Subject: | Option pricing | Risk premia | Jumps | Stochastic volatility | Return predictability | Risk aversion | Extreme events | Risikoprämie | Risk premium | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Risiko | Risk | Risikoaversion | CAPM | Index-Futures | Index futures | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfineco.2015.06.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011480313