Construct · 1 fields · 1 citations

jump risk premium: a standalone construct

One name. One construct. A landmark on the map.

● anchor · a standalone construct Nearest construct by meaning·not indexed

A single standalone construct; nearby constructs are located against it in the Collider. Tap a field for its definition, unit, and measures.

Asset pricing

the compensation investors require for bearing the risk of sudden discontinuous price moves, estimated jointly from option and stock prices.

In asset pricing, jump risk premium refers to the compensation investors require for bearing the risk of sudden discontinuous price moves, estimated jointly from option and stock prices. This meaning comes from Pan (2002) in Journal of Financial Economics.[1]

Unit
Recovery means
Measured by

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Nearby constructs

asset2 fields · 2 citationsjingle · one word, two constructs bearing1 fields · 1 citationsanchor · a standalone construct compensation2 fields · 2 citationsjingle · one word, two constructs

References

Pan, J. (2002). The jump-risk premia implicit in options: evidence from an integrated time-series study. Journal of Financial Economics, 63(1), 3-50. https://doi.org/10.1016/s0304-405x(01)00088-5

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