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| Frederik Lundtofte |
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| ''Implied volatility and risk aversion in a simple model with uncertain growth
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| ( 2010, Vol. 30 No.1 ) |
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| 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. |
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| Keywords: parameter uncertainty, option pricing, implied volatility, implied risk aversion |
JEL:
C1 - Econometric and Statistical Methods: General |
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| Manuscript Received : Feb 27 2009 | | Manuscript Accepted : Jan 13 2010 |
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