Option Prices in a Model with Stochastic Disaster Risk

Contrary to well-known asset pricing models, volatilities implied by equity index options exceed realized stock market volatility and exhibit a pattern known as the volatility skew. We explain both facts using a model that can also account for the mean and volatility of equity returns. Our model ass...

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Veröffentlicht in:	Management science 2019-08, Vol.65 (8), p.3449-3469
Hauptverfasser:	Seo, Sang Byung, Wachter, Jessica A
Format:	Artikel
Sprache:	eng
Schlagworte:	Asset pricing Consumption consumption disasters Disasters implied volatilities jump diffusions kurtosis Options (Finance) Prices Risk assessment Securities markets Securities prices Stochastic models Stock markets Volatility
Online-Zugang:	Volltext
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