A note on Stein's overreaction puzzle

DOI10.1007/S10203-019-00244-ZzbMATH Open1444.91210OpenAlexW2925262491MaRDI QIDQ777932FDOQ777932

Authors: Yuehao Lin, Thorsten Lehnert 

Publication date: 8 July 2020

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-019-00244-z

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zbMATH Keywords

stochastic volatilitypricing kerneloverreactionvariance risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options

Cited In (3)

• Some limitation on stein's phenomenon
• On the consequences of overstratification
• Reversing the Stein effect

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