Recovering Probabilities and Risk Aversion from Option Prices and Realized Returns
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Cited by:
- Darsh Kachhara & John K. E Markin & Astha Singh, 2023. "Option Smile Volatility and Implied Probabilities: Implications of Concavity in IV Curves," Papers 2307.15718, arXiv.org, revised Nov 2023.
- Lüders, Erik, 2002. "Asset Prices and Alternative Characterizations of the Pricing Kernel," ZEW Discussion Papers 02-10, ZEW - Leibniz Centre for European Economic Research.
- Wael Bahsoun & Pawel Góra & Silvia Mayoral & Manuel Morales, 2006. "Random Dynamics and Finance: Constructing Implied Binomial Trees from a Predetermined Stationary Den," Faculty Working Papers 13/06, School of Economics and Business Administration, University of Navarra.
- Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005. "State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle," Staff Working Papers 05-9, Bank of Canada.
- René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
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More about this item
Keywords
Risk Aversion; Option; Realized Returns;All these keywords.
JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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