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Remarks on the Swiss premium principle on positive risks

✍ Scribed by Dirk Beyer; Manfred Riedel

Publisher
Elsevier Science
Year
1993
Tongue
English
Weight
400 KB
Volume
13
Category
Article
ISSN
0167-6687

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## Abstract The introduction of unspanned sources of risk (and frictions) implies that option prices include a risk premium. Prima facie evidence of the existence of risk premia in option prices is contained in the implied volatility smile patterns reported in the literature. This article isolates