Time Variations in Risk Aversion Recovered from Option Prices

Time Variations in Risk Aversion Recovered from Option Prices
Author :
Publisher :
Total Pages : 80
Release :
ISBN-10 : OCLC:652391301
ISBN-13 :
Rating : 4/5 ( Downloads)

Book Synopsis Time Variations in Risk Aversion Recovered from Option Prices by : Moshe Omer

Download or read book Time Variations in Risk Aversion Recovered from Option Prices written by Moshe Omer and published by . This book was released on 2007 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Time Variations in Risk Aversion Recovered from Option Prices Related Books

Time Variations in Risk Aversion Recovered from Option Prices
Language: en
Pages: 80
Authors: Moshe Omer
Categories:
Type: BOOK - Published: 2007 - Publisher:

GET EBOOK

Recovering Risk Aversion from Option Prices and Realized Returns
Language: en
Pages:
Authors: Jens Carsten Jackwerth
Categories:
Type: BOOK - Published: 2000 - Publisher:

GET EBOOK

A relationship exists between aggregate risk-neutral and subjective probability distributions and risk aversion functions. We empirically derive risk aversion f
Option-Implied Risk-Neutral Distributions and Risk Aversion
Language: en
Pages:
Authors: Jens Carsten Jackwerth
Categories:
Type: BOOK - Published: 2008 - Publisher:

GET EBOOK

Recovering Risk Aversion from Options
Language: en
Pages: 38
Authors: Robert R. Bliss
Categories:
Type: BOOK - Published: 2005 - Publisher:

GET EBOOK

Cross-sections of option prices embed the risk-neutral probability densities functions (PDFs) for the future values of the underlying asset. Theory suggests tha
General Equilibrium Option Pricing Method: Theoretical and Empirical Study
Language: en
Pages: 163
Authors: Jian Chen
Categories: Business & Economics
Type: BOOK - Published: 2018-04-10 - Publisher: Springer

GET EBOOK

This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. First, volatility smile and sm