Inferring the Forward Looking Equity Risk Premium from Derivative Prices (Q3368328)
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scientific article; zbMATH DE number 5002382
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Inferring the Forward Looking Equity Risk Premium from Derivative Prices |
scientific article; zbMATH DE number 5002382 |
Statements
Inferring the Forward Looking Equity Risk Premium from Derivative Prices (English)
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27 January 2006
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Ex-ante risk premium
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Implied volatility
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Kalman filter
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Stochastic differential equations
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Measure transformation.
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0.7839269042015076
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0.7481221556663513
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0.7397283315658569
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0.7366457581520081
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0.7359806895256042
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