Learning, confidence, and option prices
type: Item
instance of: scholarly article
title: Learning, confidence, and option prices
zbMATH Open document ID: 1337.91152
author: Ivan Shaliastovich
published in: Journal of Econometrics
publication date: 2015-09-01T00:00:00Z
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6477235
zbMATH Keywords: option price
zbMATH Keywords: jumps
zbMATH Keywords: recursive utility
zbMATH Keywords: confidence
zbMATH Keywords: learning
MaRDI profile type: Publication
full work available at URL: j.jeconom.2015.02.007
OpenAlex ID: W3124171706
cites work: Nonparametric risk management and implied risk aversion
cites work: Do option markets correctly price the probabilities of movement of the underlying asset?
cites work: Rare Disasters and Asset Markets in the Twentieth Century*
cites work: Post-'87 crash fears in the S\&P 500 futures option market
cites work: The market for crash risk
cites work: Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
cites work: AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS
cites work: Estimating Macroeconomic Models: A Likelihood Approach
cites work: Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *
cites work: Empirical assessment of an intertemporal option pricing model with latent variables.
cites work: Option prices under Bayesian learning: implied volatility dynamics and predictive densities
cites work: Temporal Resolution of Uncertainty and Dynamic Choice Theory
cites work: Q4942767
cites work: Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
cites work: Q5290921
cites work: Volatility Jumps
cites work: Slow boom, sudden crash
DOI: 10.1016/J.JECONOM.2015.02.007
description: scientific article; zbMATH DE number 6477235