Estimating time-varying risk aversion from option prices and realized returns

DOI10.1080/14697688.2022.2130086zbMath1518.91280OpenAlexW4307208754MaRDI QIDQ6158368

Maria Kosolapova, Michael Hanke, Alex Weissensteiner

Publication date: 20 June 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2130086

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• The pricing kernel puzzle: survey and outlook
• The pricing kernel puzzle in forward looking data
• Nonparametric risk management and implied risk aversion
• Prospect Theory and Asset Prices
• Market Timing with Option-Implied Distributions: A Forward-Looking Approach
• A Theory of Volatility Spreads
• Instantaneous portfolio theory
• The shape of small sample biases in pricing kernel estimations
• Remarks on a Multivariate Transformation

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