Implied Volatility and Risk Aversion in a Simple Model with Uncertain Growth
(2010) In Economics Bulletin 30(1). p.182-191- Abstract
- We show that a simple equilibrium model with uncertain growth is able to simultaneously generate patterns in implied volatility and risk aversion that are similar to the ones observed in the data. In addition, the model produces an implied pricing kernel that is increasing for particular levels of wealth.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1515335
- author
- Lundtofte, Frederik LU
- organization
- publishing date
- 2010
- type
- Contribution to journal
- publication status
- in press
- subject
- keywords
- option pricing, implied volatility, implied risk aversion, parameter uncertainty
- in
- Economics Bulletin
- volume
- 30
- issue
- 1
- pages
- 182 - 191
- publisher
- Economics Bulletin
- external identifiers
-
- scopus:77953591472
- ISSN
- 1545-2921
- language
- English
- LU publication?
- yes
- id
- b63aded0-1764-4503-89e9-0d60ed66e1e4 (old id 1515335)
- date added to LUP
- 2016-04-04 09:04:01
- date last changed
- 2022-01-29 08:06:35
@article{b63aded0-1764-4503-89e9-0d60ed66e1e4, abstract = {{We show that a simple equilibrium model with uncertain growth is able to simultaneously generate patterns in implied volatility and risk aversion that are similar to the ones observed in the data. In addition, the model produces an implied pricing kernel that is increasing for particular levels of wealth.}}, author = {{Lundtofte, Frederik}}, issn = {{1545-2921}}, keywords = {{option pricing; implied volatility; implied risk aversion; parameter uncertainty}}, language = {{eng}}, number = {{1}}, pages = {{182--191}}, publisher = {{Economics Bulletin}}, series = {{Economics Bulletin}}, title = {{Implied Volatility and Risk Aversion in a Simple Model with Uncertain Growth}}, volume = {{30}}, year = {{2010}}, }