Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors

DOI10.1080/14697688.2020.1813903zbMATH Open1479.91397OpenAlexW3094243116MaRDI QIDQ5014203FDOQ5014203

Authors: Ana González-Urteaga, Belén Nieto, G. Rubio 

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10045/114104

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zbMATH Keywords

risk-neutral variancecross-section of expected returnsexact expected returnsout-of-sample stochastic discount factor

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• The pricing of options and corporate liabilities
• Macro-Finance*
• What is the expected return on the market?

Cited In (1)

• Out-of-sample stock return prediction using higher-order moments

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