A general equilibrium approach to pricing volatility risk

This paper provides a general equilibrium approach to pricing volatility. Existing models (e.g., ARCH/GARCH, stochastic volatility) take a statistical approach to estimating volatility, volatility indices (e.g., CBOE VIX) use a weighted combination of options, and utility based models assume a speci...

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Detalles Bibliográficos
Autores principales: Han, Jianlei, Linnenluecke, Martina, Liu, Zhangxin, Pan, Zheyao, Smith, Tom
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2019
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6461293/
https://www.ncbi.nlm.nih.gov/pubmed/30978225
http://dx.doi.org/10.1371/journal.pone.0215032

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6461293/
https://www.ncbi.nlm.nih.gov/pubmed/30978225
http://dx.doi.org/10.1371/journal.pone.0215032

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