Wolff, Christian; Lehnert, Thorsten; Lin, Yuehao - Luxembourg School of Finance, Faculté de droit, … - 2014
Using an equilibrium asset and option pricing model in a production economy under jump diffusion, we derive an analytical link between the equity premium, risk aversion and the systematic variance and skewness risk premium. In an empirical application of the model using more than 20 years of...