Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options
收藏NBER2004-11-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w10912
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资源简介：
We use a novel pricing model to filter times series of diffusive volatility and jump intensity from S&P 500 index options. These two measures capture the ex-ante risk assessed by investors. We find that both components of risk vary substantially over time, are quite persistent, and correlate with
提供机构：
美国国家经济研究局
创建时间：
2004-11-01
