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Variations in Risk Aversion

Assessing the time dependency of risk aversion recovered from option prices

Language EnglishEnglish
Book Paperback
Book Variations in Risk Aversion Moshe Omer
Libristo code: 06828509
Publishers VDM Verlag, October 2009
In this paper recent techniques for recovering information implied by options market prices and real... Full description
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49.77 €
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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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About the book

Full name Variations in Risk Aversion
Author Moshe Omer
Language English
Binding Book - Paperback
Date of issue 2009
Number of pages 52
EAN 9783639205343
ISBN 3639205340
Libristo code 06828509
Publishers VDM Verlag
Weight 91
Dimensions 152 x 229 x 3

Categories

Economics, Finance, Business & Management > Economics
Economics, Finance, Business & Management > Business & Management
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