Options are believed to contain unique information about the risk-neutral moment generating function (MGF hereafter) or the risk-neutral probability density function (PDF hereafter). This paper applies the wavelet method to approximate the risk-neutral MGF of the underlying asset from option...

We develop a novel approach for the direct extraction of aggregated investor attention and relative risk aversion (RRA) from European option prices. Applying it to China 50ETF options data, we document several noteworthy findings. First, we introduce the option-implied attention (OIA) index,...

This paper is on decision theoretical foundations for various types of VaR models, including VaR and conditional-VaR, as objective measures of downside risk for financial prospects. We establish the connections of the VaRs with the first- and the second-order stochastic dominance investment...