. Basierend auf einem neuen Options-implizierten Value-at-Risk (rVaR) Mass, wird gezeigt, dass Information aus Optionsmärkten … markets. Based on a novel rescaled option-implied Value-at-Risk (rVaR) measure, it is shown that option-implied information is … priced differently depending on whether it is based on options with strikes close to the current price of the underlying or …

Rational investors are in general risk averse. An important implication of this risk aversion is that investors may … demand compensation for certain risks they take – risk premiums. Moment risk premiums are an example of such risk premiums …. They are defined as the difference between a particular statistical moment of the risk-neutral return distribution and the …