collaborators

1 paper

q-fin.MF2026

Estimating the Stochastic Discount Factor from Option Prices and Predicting the Equity Premium

Kenichiro Shiraya, Tomohisa Yamakami, Akira Yamazaki

This paper proposes a stochastic discount factor (SDF) scaled by time-varying volatility. By utilizing prices and market data implied solely from S\&P 500 options, the proposed fra…