Uncovering the distribution of option implied risk aversion
Maria Kyriacou, Jose Olmo, Marius Strittmatter
| Year of publication: |
2019
|
|---|---|
| Authors: | Kyriacou, Maria ; Olmo, Jose ; Strittmatter, Marius |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 9.2019, 2, p. 81-104
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| Subject: | Simulation Based Risk-Aversion | Empirical Pricing Kernel | Index Options | Risk-Transformations | Risikoaversion | Risk aversion | Optionspreistheorie | Option pricing theory | Simulation | Index-Futures | Index futures | Risiko | Risk | Schätzung | Estimation | Anlageverhalten | Behavioural finance | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2019.92006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012116675