Počet záznamů: 1
Growth uncertainty, rational learning, and option prices
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$a Babiak, Mykola $7 kv2018988748 $4 aut 245 10
$a Growth uncertainty, rational learning, and option prices / $c Mykola Babiak, Roman Kozhan 264 -1
$a Prague : $b CERGE-EI, $c 2021 300 $a 39 stran : $b ilustrace ; $c 21 cm 336 $a text $b txt $2 rdacontent 337 $a bez média $b n $2 rdamedia 338 $a svazek $b nc $2 rdacarrier 490 1-
$a Working paper series, $x 1211-3298 ; $v 682 504 $a Obsahuje bibliografii a bibliografické odkazy 520 3-
$a We demonstrate that incorporating parameter learning into a production economy can capture salient properties of the variance premium and index option prices with empirically consistent equity returns, the risk-free rate, and macroeconomic quantities. In a model estimated on post-WWII U.S. data, the investor learns about the true parameters governing the persistence, mean, and volatility of productivity growth. Rational belief updating amplifies the impact of shocks on prices and conditional moments. The agent, in turn, pays a large premium for variance swaps and options because they hedge his concerns about future revisions, particularly concerning the mean and volatility of productivity growth. $c okcz $u https://www.obalkyknih.cz/view?isbn=9788073434892 $2 OKCZ - ANOTACE Z WEBU 546 $a Anglické a české resumé 650 07
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$a opce (finance) $7 ph137530 $2 czenas 650 07
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$a modelování a simulace $7 ph125543 $2 czenas 655 -7
$a studie $7 fd133597 $2 czenas 700 1-
$a Kozhan, Roman $7 pna20211118226 $4 aut 830 -0
$a Working paper series (CERGE-EI) ; $0 682 910 $a CBA001 FMT BK
Počet záznamů: 1