Risk aversion, fanning preference and volatility smirk on S&P 500 index options
Year of publication: |
Jul-Aug 2016
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Authors: | Chen, Jian ; Ma, Chenghu |
Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 48.2016, 34/36, p. 3277-3292
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Subject: | Recursive utility | fanning effect | jump risk | option smirk | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Risikoaversion | Risk aversion | Risiko | Risk | Index-Futures | Index futures | Optionsgeschäft | Option trading | CAPM |
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