Risk-adjusted option-implied moments

DOI10.1007/s11147-017-9136-4zbMath1417.91493OpenAlexW3123822985MaRDI QIDQ1621614

Felix Brinkmann, Olaf Korn

Publication date: 9 November 2018

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/100676

zbMATH Keywords

disappointment aversionrisk adjustmentimplied preferencesoption-implied moments

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Explaining S{\&}P500 option returns: an implied risk-adjusted approach

Cites Work

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