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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Udgivet i:PLoS One
Main Authors: Han, Jianlei, Linnenluecke, Martina, Liu, Zhangxin, Pan, Zheyao, Smith, Tom
Format: Artigo
Sprog:Inglês
Udgivet: Public Library of Science 2019
Fag:
Research Article
Online adgang:https://ncbi.nlm.nih.gov/pmc/articles/PMC6461293/
https://ncbi.nlm.nih.gov/pubmed/30978225
https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1371/journal.pone.0215032
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