General equilibrium pricing of options with habit formation and event risks

Journal of Financial Economics

Volumn 99, Issue 2, 2011, Pages 400-426

  Du, Du ^a  

^a HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

Author keywords

Economic disasters; Habit formation; Jump risk premium; Volatility smirk

Indexed keywords

EID: 78650309034     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2010.09.001     Document Type: Article

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