Kontakt
Kako nakupovati
Dostava
Svetovalec pri nakupu
Variations in Risk Aversion
Assessing the time dependency of risk aversion recovered from option prices
Angleščina
108 b
Do 30 dni za vračilo
Drugi so kupili tudi
/
Mehka
15.17
€
/
Mehka
14.37
€
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.
O knjigi
Angleščina
Podarite to knjigo še danes
To je povsem preprosto
1 Dodajte knjigo v košarico in izberite dostavo kot darilo 2 V zameno vam bomo poslali kupon 3 Knjiga bo dostavljena na naslov obdarovancaMorda bi vas zanimalo tudi
/
Mehka
27.54
€
Pozdravljeni! Sem Libroamiko, vaš knjižni svetovalec.
Kako vam lahko pomagam?