Browsing Matematisk institutt by Author "Rahe, Florentin"
Now showing items 1-1 of 1
-
Kiesel, Rüdiger; Rahe, Florentin (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2017)We present a two-factor option-pricing model, which parsimoniously captures the difference in volatility persistences under the historical and risk-neutral probabilities. The model generates an S-shaped pricing kernel that ...