Empirical Asset Pricing with Nonlinear Risk Premia
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- Aleksandar Mijatovic & Paul Schneider, 2009. "Empirical asset pricing with nonlinear risk premia," Papers 0911.0928, arXiv.org.
References listed on IDEAS
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- Gonçalo Faria & João Correia-da-Silva, 2014.
"A closed-form solution for options with ambiguity about stochastic volatility,"
Review of Derivatives Research,
Springer, vol. 17(2), pages 125-159, July.
- Gonçalo Faria & João Correia-da-Silva, 2011. "A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility," FEP Working Papers 414, Universidade do Porto, Faculdade de Economia do Porto.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-02-05 (All new papers)
- NEP-RMG-2010-02-05 (Risk Management)
- NEP-UPT-2010-02-05 (Utility Models & Prospect Theory)
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