Estimating time-varying risk aversion from option prices and realized returns
Author:
Affiliation:
1. Free University of Bozen-Bolzano, Universitätsplatz 1, 39100 Bozen-Bolzano, Italy
2. Institute for Finance, University of Liechtenstein, Fürst-Franz-Josef-Strasse, 9490 Vaduz, Liechtenstein
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2022.2130086
Reference35 articles.
1. Nonparametric risk management and implied risk aversion
2. Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
3. A Theory of Volatility Spreads
4. Prospect Theory and Asset Prices
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