Bliss, Robert R.; Panigirtzoglou, Nikolaos - In: Journal of Finance 59 (2004) 1, pp. 407-446
Using a utility function to adjust the risk-neutral PDF embedded in cross sections of options, we obtain measures of the risk aversion implied in option prices. Using FTSE 100 and S&P 500 options, and both power and exponential-utility functions, we estimate the representative agent's relative...