Inferring the Forward Looking Equity Risk Premium from Derivative Prices
From MaRDI portal
Publication:3368328
DOI10.2202/1558-3708.1141zbMath1081.91522OpenAlexW2095089886MaRDI QIDQ3368328
Carl Chiarella, Ramaprasad Bhar, Wolfgang J. Runggaldier
Publication date: 27 January 2006
Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10453/5647
Kalman filterStochastic differential equationsImplied volatilityEx-ante risk premiumMeasure transformation.
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (3)
The role of additional information in option pricing: estimation issues for the state space model ⋮ A benchmark approach to portfolio optimization under partial information ⋮ A benchmark approach to filtering in finance
This page was built for publication: Inferring the Forward Looking Equity Risk Premium from Derivative Prices