Option pricing with random risk aversion
Year of publication: |
2022
|
---|---|
Authors: | Vitiello, Luiz ; Poon, Ser-Huang |
Published in: |
Review of quantitative finance and accounting. - Dordrecht [u.a.] : Springer, ISSN 1573-7179, ZDB-ID 2009625-2. - Vol. 58.2022, 4, p. 1665-1684
|
Subject: | Non-monotonic pricing kernel | Random risk aversion | State-dependent risk aversion | Transformed normal distribution | Risikoaversion | Risk aversion | Optionspreistheorie | Option pricing theory | CAPM | Statistische Verteilung | Statistical distribution | Wahrscheinlichkeitsrechnung | Probability theory |
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