Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "causality"
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Risk Aversion, Intertemporal Substitution, and Option Pricing
(Université de Montréal. Département de sciences économiques., 1998)This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions ...