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Keywords: Pratt
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2021) 22 (3-4): 279–295.
Published: 06 October 2021
...Richard Watt; Philip Gunby Purpose The Arrow–Pratt approximation to the risk premium is only valid for small risks. In this paper we consider a second approximation, based on risk-neutral probabilities and which requires no greater information than the Arrow–Pratt approximation, that works well...
