Measuring Systematic Risk Using Implicit Beta

DOI10.1287/MNSC.41.1.124zbMath0829.90009OpenAlexW2101218041MaRDI QIDQ4838079

Andrew F. Siegel

Publication date: 4 July 1995

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.41.1.124

zbMATH Keywords

financial marketscapital asset pricing modelexchange option

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (3)

Exchange options under clustered jump dynamics ⋮ Calibration of Stock Betas from Skews of Implied Volatilities ⋮ Information arrival as price jumps

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