Recovering Risk Aversion from Option Prices and Realized Returns
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance,Accounting
Link
http://academic.oup.com/rfs/article-pdf/13/2/433/5257924/130433.pdf
Reference22 articles.
1. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
2. Nonparametric risk management and implied risk aversion
3. Prices for State-Contingent Claims: Some Estimates and Applications
4. Prices of State-Contingent Claims Implicit in Option Prices
5. Constructing Binomial Trees From Multiple Implied Probability Distributions
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