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pro vyhledávání: '"Crosby, John"'
Emphasizing the statistics of jumps crossing the strike and local time, we develop a decomposition of equity option risk premiums. Operationalizing this theoretical treatment, we equip the pricing kernel process with unspanned risks, embed (unspanned
Externí odkaz:
http://arxiv.org/abs/2303.16371
Publikováno v:
In Journal of Financial Economics December 2023 150(3)
Publikováno v:
Mathematical Finance. Oct2024, p1. 40p. 1 Illustration.