G2TT
来源类型Discussion paper
规范类型论文
来源IDDP7436
DP7436 When Everyone Runs for the Exit
Lasse Heje Pedersen
发表日期2009-08-23
出版年2009
语种英语
摘要We use prices of equity index options to quantify the impact of extreme events on asset returns. We define extreme events as departures from normality of the log of the pricing kernel and summarize their impact with high-order cumulants: skewness, kurtosis, and so on. We show that high-order cumulants are quantitatively important in both representative-agent models with disasters and in a statistical pricing model estimated from equity index options. Option prices thus provide independent confirmation of the impact of extreme events on asset returns, but they imply a more modest distribution of them.
主题Financial Economics
关键词Cumulants Entropy Equity premium Implied volatility Pricing kernel Risk-neutral probabilities
URLhttps://cepr.org/publications/dp7436
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/536270
推荐引用方式
GB/T 7714
Lasse Heje Pedersen. DP7436 When Everyone Runs for the Exit. 2009.
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