New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model
- 1 July 1998
- journal article
- Published by University of Chicago Press in The Journal of Business
- Vol. 71 (3) , 371-405
- https://doi.org/10.1086/209749
Abstract
We investigate a new basic model for asset pricing, the hyperbolic model, which allows an almost perfect statistical fit of stock return data. After a detailed ...Keywords
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