Option-Implied Risk Aversion Estimates: Robustness and Patterns
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Elsevier BV
Reference26 articles.
1. Nonparametric Risk Management and Implied Risk Aversion;Yacine Ait-Sahalia;Journal of Econometrics,2000
2. Do Option Markets Correctly Price the Probabilities of Movement of the Underlying Asset?;Yacine Ait-Sahalia;Journal of Econometrics,2001
3. The Relation Between Implied and Realised Probability Density Functions
4. Efficient Analytic Approximation of American Option Values;Giovanni Barone-Adesi;Journal of Finance,1987
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