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Option-Implied Preference with Model Uncertainty

  • Published:2014-02 Issue: Volume: Page:n/a-n/a
  • ISSN:0270-7314
  • Container-title:Journal of Futures Markets
  • language:en
  • Short-container-title:

Author:

Kang Byung Jin1,Kim Tong Suk2,Lee Hyo Seob3

Affiliation:

1. Byung Jin Kang is at the Soongsil University School of Finance; Seoul Republic of Korea

2. Tong Suk Kim is at the Graduate School of Finance, KAIST; Seoul Republic of Korea

3. Hyo Seob Lee is at the Korea Capital Market Institute; Seoul Republic of Korea

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference28 articles.

1. Nonparametric risk management and implied risk aversion;Aϊt-Sahalia;Journal of Econometrics,2000

2. A quartet of semigroups for model specification, robustness, prices of risk, and model detection;Anderson;Journal of European Economic Association,2003

3. A theory of volatility spreads;Bakshi;Management Science,2006

4. Returns of claims on the upside and the viability of U-shaped pricing kernels;Bakshi;Journal of Financial Economics,2010

5. Option implied risk aversion estimate;Bliss;Journal of Finance,2004

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1. Recovering risk aversion from Bitcoin option prices and realized returns;Applied Economics Letters;2024-07-22

2. The Equity Curve and Its Relation to Future Stock Returns;Journal of Risk and Financial Management;2020-01-21

3. The pricing kernel puzzle: survey and outlook;Annals of Finance;2017-12-19

4. The Pricing Kernel Puzzle: Survey and Outlook;SSRN Electronic Journal;2016
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