Detlefsen, Kai; Härdle, Wolfgang; Moro, Rouslan - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is...