Inferring the Forward Looking Equity Risk Premium from Derivative Prices
Year of publication: |
2007
|
---|---|
Authors: | Bhar, Ramaprasad ; Chiarella, Carl ; Runggaldier, Wolfgang |
Published in: |
Studies in Nonlinear Dynamics & Econometrics. - Berkeley Electronic Press. - Vol. 8.2007, 1, p. 1141-1141
|
Publisher: |
Berkeley Electronic Press |
Subject: | Ex-ante risk premium | Implied volatility | Kalman filter | Stochastic differential equations | Measure transformation |
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