Carte Variations in Risk Aversion Moshe Omer

Variations in Risk Aversion

Assessing the time dependency of risk aversion recovered from option prices

Autor: Moshe Omer
Limbă: engleză
Legare: Carte broșată
Editura: VDM Verlag
Disponibilitate: La editor doar la comandă
Expediem în 17-27 zile
253.90 lei
In this paper recent techniques for recovering information implied by options market prices and real...

Informații despre carte

Autor
Limbă
engleză
Legare
Carte - Carte broșată
Publicat
2009
Pagini
52
EAN
9783639205343
ISBN
3639205340
Enbook ID
06828509
Editura
Greutate
91
Dimensiuni
152 x 229 x 3

Descriere completă

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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