the mean and volatility of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on … the international data on large consumption declines. We allow the risk of this rare disaster to be stochastic, which …

risk is the dominant force, the size distribution of disasters follows a power law, and the economy has a representative … difference between the power-law tail parameter and the coefficient of relative risk aversion, γ. The options-pricing formula … countries. The analysis uses two types of data—indicative prices on OTC contracts offered by a large financial firm and market …

generate log-symmetric stable price uncertainty. Our analysis is restricted to short-lived options for reasons of mathematical … tractability. Nevertheless, the formula is useful for evaluating many types of risk …

We develop a model of pandemic risk management and firm valuation. We introduce aggregate transmission shocks into an …

. The numerical analysis literature offers many reliable methods, and should be used because alternatives derived from … difference methods from numerical analysis produces far superior approximations than do simple discrete-time systems …