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ralph lauren polo

 
Frederik Lundtofte
 
''Implied volatility and risk aversion in a simple model with uncertain growth ''
( 2010, Vol. 30 No.1 )
 
 
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
JEL: G1 - General Financial Markets: General (includes Measurement and Data)
C1 - Econometric and Statistical Methods: General
 
Manuscript Received : Feb 27 2009 Manuscript Accepted : Jan 13 2010

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