Specifically, we use BKM model to extract the second moment, third moment under the risk-neutral measure. Combined with the single-factor model, we build the implied beta.

  • 具体而言,本文利用BKM模型,提取风险中性测度下的收益率二阶矩、三阶矩,并结合单因子模型,构建隐含贝塔的求解公式。

  • 互联网摘选 2025-01-20 13:06:32

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