Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Extracting risk aversion estimates from option prices/implied volatility
The risk neutral density function is the distribution implied by the market price of derivative securities, namely options. It encloses the assumption that arbi-trage free conditions persist in the market. Given the historical evolution of stock prices, an investor will form some belief about the fu...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Division of Actuarial Science
2015
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| Summary: | The risk neutral density function is the distribution implied by the market price of derivative securities, namely options. It encloses the assumption that arbi-trage free conditions persist in the market. Given the historical evolution of stock prices, an investor will form some belief about the future progression of the stock price. |
|---|