Estimating time-varying risk aversion from option prices and realized returns

被引：3
|
作者：
Kosolapova, Maria [1 ]
Hanke, Michael [2 ]
Weissensteiner, Alex [1 ]
机构：
[1] Free Univ Bozen Bolzano, Univ Pl 1, I-39100 Bozen Bolzano, Italy
[2] Univ Liechtenstein, Inst Finance, Furst Franz Josef Str, FL-9490 Vaduz, Liechtenstein
来源：
QUANTITATIVE FINANCE | 2023年 / 23卷 / 01期
关键词：
PRICING KERNEL PUZZLE; DENSITY; SHAPE;
D O I：
10.1080/14697688.2022.2130086
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Risk aversion is estimated from risk-neutral densities and realized index returns
引用
收藏
页码：1 / 17
页数：17
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