Jump and volatility risk and risk premia
Subtitle: a new model and lessons from S & P 500 options
By: Pedro Santa-Clara, Shu Yan.
Contributors: Yan, Shu, 1968-; National Bureau of Economic Research.
Series: NBER working paper series -- no. 10912.; Working paper series (National Bureau of Economic Research) -- working paper no. 10912.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, Mass
Language: eng
Number of pages: 48
Subjects: Stocks -- Econometric models
Other titles: Jump and volatility risk and risk premia : a new model and lessons from Standard & Poor's 500 options.
Notes: "November 2004."

Includes bibliographical references (p. 32-35).

Also available in PDF from the NBER world wide web site (www.nber.org).