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~institution:"Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät"
~institution:"School of Economics and Management, University of Aarhus"
~person:"Mainberger, Christoph"
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CAPM
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Continuous-time equilibrium
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affine processes
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implied volatility
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information-based asset pricing
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Mainberger, Christoph
Härdle, Wolfgang
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
School of Economics and Management, University of Aarhus
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SFB 649 Discussion Papers
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Continuous Equilibrium under Base Preferences and Attainable Initial Endowments
Horst, Ulrich
;
Kupper, Michael
;
Macrina, Andrea
; …
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2011
are obtained and applied to numerically analyze the impact of the agents’ risk aversion on the
implied
volatility
of …
Persistent link: https://www.econbiz.de/10011277273
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