Option Hedging Using Empirical Pricing Kernels
收藏NBER1997-10-01 更新2025-01-04 收录
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https://www.nber.org/papers/w6222
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资源简介：
This paper develops a method for option hedging which is consistent with time-varying preferences and probabilities. The preferences are expressed in the form of an empirical pricing kernel (EPK), which measures the state price per unit probability, while probabilities are derived from an estimated
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美国国家经济研究局创建时间：
1997-10-01
