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Implied Volatility and Risk Aversion in a Simple Model with Uncertain Growth

Lundtofte, Frederik LU (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:
author
organization
publishing date
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
ISSN
1545-2921
language
English
LU publication?
yes
id
b63aded0-1764-4503-89e9-0d60ed66e1e4 (old id 1515335)
date added to LUP
2009-12-15 08:54:25
date last changed
2016-04-16 06:09:40
@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},
  keyword      = {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},
}