Detlefsen, Kai; Härdle, Wolfgang; Moro, Rouslan - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007
This paper analyzes empirical market utility functions and pricing kernelsderived from the DAX and DAX option data for three market regimes. Aconsistent parametric framework of stochastic volatility is used. All empiricalmarket utility functions show a region of risk proclivity that is...