Options-Pricing Formula with Disaster Risk
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下载链接：
https://www.nber.org/papers/w21888
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资源简介：
A new options-pricing formula applies to far-out-of-the money put options on the overall stock market when disaster risk is the dominant force, the size distribution of disasters follows a power law, and the economy has a representative agent with Epstein-Zin utility. In the applicable region, the
提供机构：
美国国家经济研究局
创建时间：
2016-01-01
