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An Equilibrium Model of Rare Event Premia · Study

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PreprintAn Equilibrium Model of Rare Event Premia

Jun Liu2002

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Preprintgreen2002

An Equilibrium Model of Rare Event Premia

Jun Liu · Tan Wang · Jun Pan

45 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1973The Pricing of Options and Corporate Liabilities 1921Risk, Uncertainty and Profit 1961Risk, Ambiguity, and the Savage Axioms 1976Option pricing when underlying stock returns are discontinuous 1985The equity premium: A puzzle 1978Asset Prices in an Exchange Economy 1989Maxmin expected utility with non-unique prior 1997Empirical Performance of Alternative Option Pricing Models

Cited by

2004Robustness and Ambiguity Aversion in General Equilibrium 2006Model Uncertainty, Robust Optimization, and Learning 2012Decomposition of Optimal Portfolio Weight in a Jump-Diffusion Model and Its Applications 2003A Portfolio Perspective on Option Pricing Anomalies 2005Option Strategies: Good Deals and Margin Calls 2002The Market for Crash Risk 2005Teaching Notes #5 Ambiguity Aversion and Robust Decisions Making 1

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2004An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirksarticle · 18 shared references 2010Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literaturepreprint · 11 shared references 2005Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Optionsreport · 9 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 8 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 8 shared references 2012Ambiguity in asset pricing and portfolio choice: a review of the literaturearticle · 8 shared references

Details

Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations45

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.313205

openalex_workW1548746144

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