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- W2757510167 abstract "This paper proposes an approach that associates the risk-neutral probability measure with option prices and then computes the expectation of quantities under the real world probability measure, exploiting the form of the stochastic discount factor. This approach deviates from foundational approaches that embrace assumptions about preferences and economic primitives to propose formulas for prices and risk premiums. Our method is analytically tractable, absolved of distributional assumptions, and we use the approach to elaborate on empirical questions regarding disaster probabilities, conditional return moments, and conditional return asymmetries." @default.
- W2757510167 created "2017-10-06" @default.
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- W2757510167 date "2017-01-01" @default.
- W2757510167 modified "2023-09-26" @default.
- W2757510167 title "An Approach to Measure the Expectation of Generic Functions of the Market Return" @default.
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- W2757510167 doi "https://doi.org/10.2139/ssrn.3033834" @default.
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