Implied volatility and risk aversion in a simple model with uncertain growth

Frederik Lundtofte

Implied volatility and risk aversion in a simple model with uncertain growth

Frederik Lundtofte^*

^*Kontaktforfatter

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

1 Citationer (Scopus)

Abstrakt

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.

Originalsprog	Engelsk
Tidsskrift	Economics Bulletin
Vol/bind	30
Udgave nummer	1
Sider (fra-til)	182-191
Antal sider	10
ISSN	1545-2921
Status	Udgivet - 21 jun. 2010
Udgivet eksternt	Ja

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Citationsformater

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PY - 2010/6/21

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N2 - 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.

AB - 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.

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M3 - Journal article

AN - SCOPUS:77953591472

VL - 30

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EP - 191

JO - Economics Bulletin

JF - Economics Bulletin

SN - 1545-2921

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Implied volatility and risk aversion in a simple model with uncertain growth

Abstrakt

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