An equilibrium model of rare-event premia and its implication for option smirks

Review of Financial Studies

Volumn 18, Issue 1, 2005, Pages 131-164

  Liu, Jun ^a   Pan, Jun ^b   Wang, Tan ^c  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

^c UNIVERSITY OF BRITISH COLUMBIA   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 12344272139     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/hhi011     Document Type: Review

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