A note on Stein's overreaction puzzle

DOI10.1007/S10203-019-00244-ZzbMATH Open1444.91210OpenAlexW2925262491MaRDI QIDQ777932

Yuehao Lin, Thorsten Lehnert

Publication date: 8 July 2020

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-019-00244-z

zbMATH Keywords

stochastic volatilitypricing kernelvariance riskoverreaction

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

Related Items (3)

Reversing the Stein effect ⋮ On the consequences of overstratification ⋮ Some limitation on stein's phenomenon

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