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Implied Volatility and Risk Aversion in a Simple Model with Uncertain Growth

Författare:
Redaktör:
  • John Conley
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

Övriga

Inpress
Yes
  • ISSN: 15452921

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