Uncertainty premia for small and large risks

Martin Puhl; Pavel Savor; Mungo Wilson

doi:10.1016/j.jbankfin.2024.107253

Uncertainty premia for small and large risks

Martin Puhl
, Pavel Savor
, Mungo Wilson

Driehaus College of Business and Kellstadt Graduate School of Business

Research output: Contribution to journal › Article › peer-review

Original language	English
Article number	107253
Journal	Journal of Banking and Finance
Volume	167
DOIs	https://doi.org/10.1016/j.jbankfin.2024.107253
State	Published - Oct 2024

ASJC Scopus Subject Areas

Finance
Economics and Econometrics

Keywords

Ambiguity aversion
Options
Price of risk
Price of uncertainty
Risk aversion
Uncertainty

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10.1016/j.jbankfin.2024.107253

Cite this

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title = "Uncertainty premia for small and large risks",

keywords = "Ambiguity aversion, Options, Price of risk, Price of uncertainty, Risk aversion, Uncertainty",

author = "Martin Puhl and Pavel Savor and Mungo Wilson",

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year = "2024",

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doi = "10.1016/j.jbankfin.2024.107253",

language = "English",

volume = "167",

journal = "Journal of Banking and Finance",

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T1 - Uncertainty premia for small and large risks

AU - Puhl, Martin

AU - Savor, Pavel

AU - Wilson, Mungo

PY - 2024/10

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KW - Ambiguity aversion

KW - Options

KW - Price of risk

KW - Price of uncertainty

KW - Risk aversion

KW - Uncertainty

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DO - 10.1016/j.jbankfin.2024.107253

M3 - Article

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SN - 0378-4266

VL - 167

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

M1 - 107253

ER -

Uncertainty premia for small and large risks

ASJC Scopus Subject Areas

Keywords

Access to Document

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