Modeling conditional factor risk premia implied by index option returns
Year of publication: |
2024
|
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Authors: | Fournier, Mathieu ; Jacobs, Kris ; Orłowski, Piotr |
Published in: |
The journal of finance : the journal of the American Finance Association. - Berkeley, Calif. : AFA, ISSN 1540-6261, ZDB-ID 2010241-0. - Vol. 79.2024, 3, p. 2289-2338
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Subject: | Schätzung | Estimation | Risikoprämie | Risk premium | Kapitaleinkommen | Capital income | Index-Futures | Index futures | Optionspreistheorie | Option pricing theory | CAPM | Volatilität | Volatility |
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