Publikationer
Implied Volatility and Risk Aversion in a Simple Model with Uncertain Growth
Redaktör:
- John Conley
Avdelning/ar:
Publiceringsår: 2010
Språk: Engelska
Sidor: 182-191
Publikation/Tidskrift/Serie: Economics Bulletin
Volym: 30
Nummer: 1
Dokumenttyp: Artikel
Sammanfattning
We show that a simple equilibrium model with uncertain growth is able to simultaneously generate patterns in implied volatility and risk aversion that are similar to the ones observed in the data. In addition, the model produces an implied pricing kernel that is increasing for particular levels of wealth.
Disputation
Nyckelord
- Business and Economics
- option pricing
- implied volatility
- implied risk aversion
- parameter uncertainty
Övrigt
Inpress
Yes
- ISSN: 15452921

