Extracting Information from Options Markets: Smiles, State–Price Densities and Risk Aversion
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Abstract
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DOI: 10.1111/1468-036X.00201
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Other versions of this item:
- Christophe Villa & C. Pérignon, 2002. "Extracting information from options markets : smiles, state-price densities and risk-aversion," Post-Print halshs-00071103, HAL.
Citations
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Cited by:
- Tapiero, Charles S. & Kogan, Konstantin, 2009. "Risk-averse order policies with random prices in complete market and retailers' private information," European Journal of Operational Research, Elsevier, vol. 196(2), pages 594-599, July.
- Liu, Xiaoquan & Shackleton, Mark B. & Taylor, Stephen J. & Xu, Xinzhong, 2007. "Closed-form transformations from risk-neutral to real-world distributions," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1501-1520, May.
- Luca Regis & Simone Scotti, 2008. "Risk Premium Impact in the Perturbative Black Scholes Model," Papers 0806.0307, arXiv.org.
- Liao, Wen Ju & Sung, Hao-Chang, 2020. "Implied risk aversion and pricing kernel in the FTSE 100 index," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Ting-Huan Chang, 2011. "Risk preference and trading motivation measurement due to moneyness: evidence from the S&P 500 Index option market," Applied Financial Economics, Taylor & Francis Journals, vol. 21(14), pages 1049-1057.
- Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
- Jenke ter Horst & Chris Veld, 2008. "An Empirical Analysis of the Pricing of Bank Issued Options versus Options Exchange Options," European Financial Management, European Financial Management Association, vol. 14(2), pages 288-314, March.
- Daniel Giamouridis, 2005. "Inferring option-implied investors' risk preferences," Applied Financial Economics, Taylor & Francis Journals, vol. 15(7), pages 479-488.
- Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2009.
"Option-implied preferences adjustments, density forecasts, and the equity risk premium,"
Spanish Economic Review, Springer;Spanish Economic Association, vol. 11(2), pages 141-164, June.
- Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2006. "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Working Papers 0630, Banco de España.
- Hamed Ghanbari & Michael Oancea & Stylianos Perrakis, 2021. "Shedding light on a dark matter: Jump diffusion and option‐implied investor preferences," European Financial Management, European Financial Management Association, vol. 27(2), pages 244-286, March.
- Bedoui, Rihab & Hamdi, Haykel, 2015. "Option-implied risk aversion estimation," The Journal of Economic Asymmetries, Elsevier, vol. 12(2), pages 142-152.
- Maria Kyriacou & Jose Olmo & Marius Strittmatter, 2021. "Optimal portfolio allocation using option‐implied information," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 266-285, February.
- Kang, Byung Jin & Kim, Tong Suk, 2006. "Option-implied risk preferences: An extension to wider classes of utility functions," Journal of Financial Markets, Elsevier, vol. 9(2), pages 180-198, May.
- Qingxia (Jenny) Wang, 2023. "Financial effects of carbon risk and carbon disclosure: A review," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(4), pages 4175-4219, December.
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