haku: @author Perignon, C. / yhteensä: 5
viite: 4 / 5
| Tekijä: | Perignon, C. Villa, C. |
| Otsikko: | Extracting Information from Options Markets: Smiles, State- Price Densities and Risk Aversion |
| Lehti: | European Financial Management
2002 : DEC, VOL. 8:4, p. 495-514 |
| Asiasana: | RISK AVERSION FINANCE PROBLEM SOLVING OPTIONS ASSETS |
| Kieli: | eng |
| Tiivistelmä: | In this paper, the authors focuse attention on the implied risk aversion. Many papers have nourished the debate on the evolution of the risk-aversion function with respect to the wealth level. Early empirical estimations of risk aversion based on portfolio holdings or on consumption data yielded conflicting conclusions concerning the magnitude and the characteristics of the risk aversion. For this reason, new methods of extracting risk aversion from derivatives markets have been developed to provide new insights into this fundamental debate. The contributions of this paper include a new geometric measure of the implied risk aversion, the use of a high-frequency dataset-solving non-synchronicity problem between the option and the underlying asset prices. |
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