Estimating time-varying risk aversion from option prices and realized returns. Issue 1 (2nd January 2023)
- Record Type:
- Journal Article
- Title:
- Estimating time-varying risk aversion from option prices and realized returns. Issue 1 (2nd January 2023)
- Main Title:
- Estimating time-varying risk aversion from option prices and realized returns
- Authors:
- Kosolapova, Maria
Hanke, Michael
Weissensteiner, Alex - Abstract:
- Abstract : Risk aversion is estimated from risk-neutral densities and realized index returns
- Is Part Of:
- Quantitative finance. Volume 23:Issue 1(2023)
- Journal:
- Quantitative finance
- Issue:
- Volume 23:Issue 1(2023)
- Issue Display:
- Volume 23, Issue 1 (2023)
- Year:
- 2023
- Volume:
- 23
- Issue:
- 1
- Issue Sort Value:
- 2023-0023-0001-0000
- Page Start:
- 1
- Page End:
- 17
- Publication Date:
- 2023-01-02
- Subjects:
- Finance -- Periodicals
Business mathematics -- Periodicals
Finance -- Mathematical models -- Periodicals
Investments -- Mathematics -- Periodicals
Economics -- Periodicals
Finances -- Modèles mathématiques -- Périodiques
332.015118 - Journal URLs:
- http://www.tandfonline.com/toc/rquf20/current ↗
http://www.tandfonline.com/ ↗ - DOI:
- 10.1080/14697688.2022.2130086 ↗
- Languages:
- English
- ISSNs:
- 1469-7688
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 7168.333200
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 24691.xml