Inferring the Forward Looking Equity Risk Premium from Derivative Prices
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Publication:3368328
DOI10.2202/1558-3708.1141zbMath1081.91522MaRDI 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 filter; Stochastic differential equations; Implied volatility; Ex-ante risk premium; Measure transformation.
93E20: Optimal stochastic control
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