Option Prices in a Model with Stochastic Disaster Risk
收藏NBER2013-11-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w19611
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资源简介：
Contrary to the Black-Scholes model, volatilities implied by index option prices depend on the exercise price of the option and are often higher than realized volatilities. We explain both facts in the context of a model that can also explain the mean and volatility of equity returns. Our model
提供机构：
美国国家经济研究局
创建时间：
2013-11-01
