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Opis

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.

Szczegóły książki

Kategoria Książki po angielsku Economics, finance, business & management Economics

• Pełny tytuł: Variations in Risk Aversion
• Podtytuł: Assessing the time dependency of risk aversion recovered from option prices
• Autor: Moshe Omer
• Język: Angielski
• Oprawa: Miękka
• Liczba stron: 52
• EAN: 9783639205343
• ISBN: 3639205340
• ID: 06828509
• Wydawca: VDM Verlag
• Waga: 91 g
• Wymiary: 229 × 152 × 3 mm
• Data wydania: 14. October 2009

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