Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors (Q5014203)
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scientific article; zbMATH DE number 7436797
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors |
scientific article; zbMATH DE number 7436797 |
Statements
Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors (English)
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1 December 2021
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exact expected returns
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risk-neutral variance
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out-of-sample stochastic discount factor
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cross-section of expected returns
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