Volatility and the pricing kernel
David Schreindorfer, Tobias Sichert
| Year of publication: |
[2022] ; This draft: January 31, 2022
|
|---|---|
| Authors: | Schreindorfer, David ; Sichert, Tobias |
| Publisher: |
Stockholm, Sweden : Swedish House of Finance |
| Subject: | Pricing kernel | volatility | risk-return trade-off | equity index options | habits | long-run risks | rare disasters | incomplete markets | Volatilität | Volatility | Risikoprämie | Risk premium | CAPM | Unvollkommener Markt | Incomplete market | Risiko | Risk | Optionspreistheorie | Option pricing theory | Börsenkurs | Share price | Risikoaversion | Risk aversion | Schätzung | Estimation | Index-Futures | Index futures | Finanzmarkt | Financial market | Black-Scholes-Modell | Black-Scholes model | Anlageverhalten | Behavioural finance |
freely available
| Extent: | 1 Online-Ressource (circa 31 Seiten) Illustrationen |
|---|---|
| Series: | Swedish House of Finance research paper. - Stockholm, Sweden : Swedish House of Finance, ZDB-ID 3057987-9. - Vol. No. 21-22 |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012816005