Implied volatility and risk aversion in a simple model with uncertain growth

Frederik Lundtofte ()

Economics Bulletin, 2010, vol. 30, issue 1, 182-191

Abstract: We show that a simple equilibrium model with uncertain growth is able to simultaneously generate patterns in implied volatility and risk aversion that are similar to the ones observed in the data.

Keywords: parameter uncertainty; option pricing; implied volatility; implied risk aversion (search for similar items in EconPapers)
JEL-codes: C1 G1 (search for similar items in EconPapers)
Date: 2010-01-13
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Citations: View citations in EconPapers (1)

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