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Inferring risk-averse probability distributions from option prices using implied binomial trees

Arnold, Tom; Crack, Timothy Falcon; Schwartz, Adam - In: Financial econometrics modeling : derivatives pricing, …, (pp. 35-52). 2011

Persistent link: https://www.econbiz.de/10008988015

Estimating Time-Varying Risk Aversion from Option Prices and Realized Returns

Hanke, Michael; Kosolapova, Maria; Weissensteiner, Alex - 2022

We combine risk-neutral densities from equity index options with realized index returns to estimate the market's risk aversion. Starting from a power utility framework with constant risk aversion, we extend it by more flexible stochastic discount factors. We allow for time-varying risk aversion...

Persistent link: https://www.econbiz.de/10013294482

Hedging with small uncertainty aversion

Herrmann, Sebastian; Muhle-Karbe, Johannes; Seifried, … - 2016

We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset … "distance" to a reference local volatility model. In the limit for small uncertainty aversion, this leads to explicit formulas …

Persistent link: https://www.econbiz.de/10011410718

Risk Aversion, Fanning Preference, and Volatility Smirk on S&P500 Index Options

Chen, Jian - 2016

fanning effect generates pronounced volatility smirks …

Persistent link: https://www.econbiz.de/10012992993

Option Pricing Under Time-Varying Risk-Aversion with Applications to Risk Forecasting

Kiesel, Rüdiger - 2015

We present a new option-pricing model, which explicitly captures the difference in the persistence of volatility under … Stochastic Volatility models have the best forecasting performance …

Persistent link: https://www.econbiz.de/10013014461

European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions

Nardon, Martina; Pianca, Paolo - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 249-274

Persistent link: https://www.econbiz.de/10011993474

Recovering risk aversion from options

Bliss, Robert R. (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001658437

Extracting market information from equity options with exponential Lévy processes

Fabozzi, Frank J.; Leccadito, Arturo; Tunaru, Radu S. - In: Journal of economic dynamics & control 38 (2014), pp. 125-141

Persistent link: https://www.econbiz.de/10010387852

Uncovering the distribution of option implied risk aversion

Kyriacou, Maria; Olmo, Jose; Strittmatter, Marius - In: Journal of mathematical finance 9 (2019) 2, pp. 81-104

Persistent link: https://www.econbiz.de/10012116675

Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims

Fu, Ke-ang; Ng, Cheuk Yin Andrew - In: Insurance / Mathematics & economics 56 (2014), pp. 80-87

Persistent link: https://www.econbiz.de/10010385027