Option Valuation with Volatility Components, Fat Tails, and Nonmonotonic Pricing Kernels*
Author:
Affiliation:
1. RBC Capital Markets
2. Rotman School of Management, University of Toronto, Copenhagen Business School, and CREATES
3. Smith School of Business, University of Maryland
4. Bauer College of Business, University of Houston
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance
Link
http://academic.oup.com/raps/article-pdf/8/2/183/26899895/rax021.pdf
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5. Short-term market risks implied by weekly options;Andersen;Journal of Finance,2017
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