Florentin Rahe

University of Ulm

Helmholtzstra├če 16

Ulm, 89081

Germany

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Option Pricing Under Time-Varying Risk-Aversion with Applications to Risk Forecasting

Number of pages: 54 Posted: 03 Oct 2015
Ruediger Kiesel and Florentin Rahe
University of Duisburg-Essen - Faculty of Economic Science and University of Ulm
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Abstract:

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Pricing kernel, Option pricing, Implied risk premium, Value-at-Risk forecast