Implied Volatility and Risk Aversion in a Simple Model with Uncertain Growth
Författare
Summary, in English
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.
Avdelning/ar
Publiceringsår
2010
Språk
Engelska
Sidor
182-191
Publikation/Tidskrift/Serie
Economics Bulletin
Volym
30
Issue
1
Dokumenttyp
Artikel i tidskrift
Förlag
Economics Bulletin
Ämne
- Economics
Nyckelord
- option pricing
- implied volatility
- implied risk aversion
- parameter uncertainty
Status
Inpress
ISBN/ISSN/Övrigt
- ISSN: 1545-2921