Alejandro Bernales
Biographic Data
| ID | 8920975 |
|---|---|
| NAME | Alejandro Bernales |
| GIVEN NAMES | Alejandro |
| FAMILY NAME | Bernales |
| SIGNATURE | BERNALES A |
| AFFILIATIONS | Universidad de Chile, Centro de Economía Aplicada and Centro de Finanzas, DII, Republica 701, Santiago, Chile () |
| ORCID | 0000-0003-1539-966X |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2020 |
| LATEST PUBLICATION YEAR | 2020 |
| H-INDEX | 0 |
Learning and Index Option Returns
Little is known about the economic sources that may generate the abnormal returns observed in put index options. We show that the learning process followed by investors may be one such source. We develop an equilibrium model under partial information in which a rational Bayesian learner prices put option contracts. Our model generates put option returns similar to the empirical returns of S&P 500 put index options. This result is not obtained whe…
No prominent works on this page.
Learning and Index Option Returns
Little is known about the economic sources that may generate the abnormal returns observed in put index options. We show that the learning process followed by investors may be one such source. We develop an equilibrium model under partial information in which a rational Bayesian learner prices put option contracts. Our model generates put option returns similar to the empirical returns of S&P 500 put index options. This result is not obtained whe…
Artificial Intelligence (1 work) · Bayesian inference (1 work) · Bayesian probability (1 work) · Capital Investment and Risk Analysis (1 work) · Computer Science (1 work) · Econometrics (1 work) · Economic theories and models (1 work) · Economics (1 work) · Stochastic processes and financial applications (1 work)