Modeling Conditional Factor Risk Premia Implied by Index Option Returns
Year of publication: |
[2021]
|
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Authors: | Fournier, Mathieu ; Jacobs, Kris ; Orłowski, Piotr |
Publisher: |
[S.l.] : SSRN |
Subject: | Schätzung | Estimation | Risikoprämie | Risk premium | Kapitaleinkommen | Capital income | Index-Futures | Index futures | Optionspreistheorie | Option pricing theory | CAPM | Volatilität | Volatility |
Extent: | 1 Online-Ressource (82 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 26, 2021 erstellt |
Other identifiers: | 10.2139/ssrn.3893807 [DOI] |
Classification: | G10 - General Financial Markets. General ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; c58 |
Source: | ECONIS - Online Catalogue of the ZBW |
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