volatility and risk aversion that are similar to the ones observed in the data. In addition, the model produces an implied …

receives for being exposed to interestrate risk when investing in equity securities. We pursue here a benchmark portfolio … approach,constructing benchmark portfolios with the same interest rate risk exposure as a particularstock. By studying the time … risk benchmarks of Germancorporations have mostly earned a significantly positive reward. ii) Returns of interest raterisk …

This paper develops a closed form risk-neutral valuation model for pricing Europeanstyle options when the underlying …

through simple transformations. In this paper,we established the link between the real and the risk neutral distributions …, andprovided a formal proof for the existence of the risk neutral valuation relationshipbetween option price and the gamma …

useful for out-of-sample prediction. Nor do we find practical applications of Bernoulli functions in major risk …

rate can be nonparametric for the risk premium parameters. We derive the kernel nonparametric efficiency bounds for … opportunities in estimated derivative prices, an XMM estimator based on an information criterion is introduced. The general results … are applied in a stochastic volatility model to get efficient derivative prices, to measure the uncertainty of estimated …