Uncovering the distribution of option implied risk aversion
Year of publication: |
2019
|
---|---|
Authors: | Kyriacou, Maria ; Olmo, Jose ; Strittmatter, Marius |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 9.2019, 2, p. 81-104
|
Subject: | Simulation Based Risk-Aversion | Empirical Pricing Kernel | Index Options | Risk-Transformations | Risikoaversion | Risk aversion | Optionspreistheorie | Option pricing theory | Simulation | Black-Scholes-Modell | Black-Scholes model | Schätzung | Estimation | Index-Futures | Index futures | Kapitaleinkommen | Capital income | Anlageverhalten | Behavioural finance | Risiko | Risk | CAPM |
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