Inferring the Forward Looking Equity Risk Premium from Derivative Prices

DOI10.2202/1558-3708.1141zbMATH Open1081.91522OpenAlexW2095089886MaRDI QIDQ3368328FDOQ3368328

Authors: Ramaprasad Bhar, Carl Chiarella, 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

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zbMATH Keywords

Kalman filterStochastic differential equationsImplied volatilityEx-ante risk premiumMeasure transformation.

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cited In (10)

• Does knowing the volatility states affect the market risk premium?
• A benchmark approach to filtering in finance
• Examining heterogeneity in implied equity risk premium using penalized splines
• The forward premium puzzle in a model of imperfect information
• A benchmark approach to portfolio optimization under partial information
• The role of additional information in option pricing: estimation issues for the state space model
• The Term Structure of Equity Risk Premia: Levered Noise and New Estimates
• A SCENARIO ANALYSIS OF THE RISK PREMIUM IN G7 COUNTRIES
• Equity Risk Premium
• Dark Matter in (Volatility and) Equity Option Risk Premiums

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