Cumulative prospect theory approach to option returns and variance premium puzzles
Kirschen, Federico (A.A. 2022/2023) Cumulative prospect theory approach to option returns and variance premium puzzles. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Nicola Borri, pp. 83. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
The model. Investor’s problem. Equilibrium pricing kernel. Variance premium. Empirical analysis. Data. Benchmark parametrization. Comparative statics. Generalized method of moments estimation.
References
Bibliografia: pp. 68-69.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Asset pricing |
| Thesis Supervisor: | Borri, Nicola |
| Thesis Co-Supervisor: | Di Cagno, Daniela Teresa |
| Academic Year: | 2022/2023 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 22 Jan 2024 15:21 |
| Last Modified: | 22 Jan 2024 15:21 |
| URI: | https://tesi.luiss.it/id/eprint/37629 |
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