Книга Variations in Risk Aversion Moshe Omer

Variations in Risk Aversion

Assessing the time dependency of risk aversion recovered from option prices

Автор: Moshe Omer
Език: Английски език
Корици: С меки корици
Издател: VDM Verlag
Наличност: Налично при издателя, по поръчка
Изпращаме след 17-27 дни
51.01 99.77 лв
In this paper recent techniques for recovering information implied by options market prices and real...

Информация за книгата

Автор
Език
Английски език
Корици
Книга - С меки корици
Издадена
2009
страници
52
EAN
9783639205343
ISBN
3639205340
Enbook ID
06828509
Издател
Теглоt
91
Размери
152 x 229 x 3

Пълно описание

In this paper recent techniques for recovering information implied by options market prices and realized returns are applied empirically to measure the risk aversion of investors in the Israeli stock market. We determine nonparametric volatility smile, densities and risk aversion functions from a ten years sample of daily option and stock market prices. Moreover, we construct a time series of the absolute risk aversion, and study its variation over time. We report decreasing and generally positive risk aversion function, which varies substantially over time and is negatively correlated with the ATM implied volatility.

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