From the decompositions of a stopping time to risk premium decompositions*
The occurrence of some events can impact asset prices and produce losses. The amplitude of these losses are partly determined by the degree of predictability of those events by the market investors, as risk premiums build up in an asset price as a compensation of the anticipated losses. The aim of t...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2017-06-01
|
| Series: | ESAIM: Proceedings and Surveys |
| Online Access: | https://doi.org/10.1051/proc/201756001 |