Showing 1 - 10 of 151
Persistent link: https://www.econbiz.de/10011736237
traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …
Persistent link: https://www.econbiz.de/10011412294
We develop a conditional capital asset pricing model in continuous-time that allows for stochastic beta exposure. When beta co-moves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return on a stock deviates from the security market line. The...
Persistent link: https://www.econbiz.de/10011646407
Persistent link: https://www.econbiz.de/10011634555
Persistent link: https://www.econbiz.de/10012630769
Persistent link: https://www.econbiz.de/10011746993
Persistent link: https://www.econbiz.de/10013455157
Persistent link: https://www.econbiz.de/10015046722
Persistent link: https://www.econbiz.de/10014248207
Persistent link: https://www.econbiz.de/10011756467