Arbeitspapier
Is Jump Risk Priced? What We Can (and Cannot) Learn From Option Hedging Errors
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper Series: Finance&Accounting; No. 140
Bezug (was)
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
Asset Pricing; Trading Volume; Bond Interest Rates
Stochastic jumps
market prices of risk
discrete trading
model mis-specification
hedging error
Optionspreistheorie
Hedging
Stochastischer Prozess
Theorie
Contingent Pricing; Futures Pricing; option pricing
Asset Pricing; Trading Volume; Bond Interest Rates
Stochastic jumps
market prices of risk
discrete trading
model mis-specification
hedging error
Optionspreistheorie
Hedging
Stochastischer Prozess
Theorie
Beteiligte Personen und Organisationen
Branger, Nicole
Schlag, Christian
Frankfurt a. M.: Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften
Schlag, Christian
Frankfurt a. M.: Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften
Erschienen
Frankfurt a. M.: Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften
- Rechteinformation
-
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft
- Letzte Aktualisierung
-
18.10.2021, 08:57 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- Branger, Nicole
- Schlag, Christian
- Frankfurt a. M.: Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften
Entstanden
- Frankfurt a. M.: Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften
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What is the impact of stock market contagion on an investor's portfolio choice?
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