Mohlo by sa vám tiež páčiť

Viac informácií o knihe Variations in Risk Aversion

• Parametre knihy
• Anotácia kniha
• Obľúbené z iného súdka

Nákupom získate 121 bodov

Anotácia knihy

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.

Parametre knihy

Zaradenie knihy Knihy po anglicky Economics, finance, business & management Economics

• Celý názov: Variations in Risk Aversion
• Podnázov: Assessing the time dependency of risk aversion recovered from option prices
• Autor: Moshe Omer
• Jazyk: Angličtina
• Väzba: Brožovaná
• Počet strán: 52
• EAN: 9783639205343
• ISBN: 3639205340
• ID: 06828509
• Nakladateľ: VDM Verlag
• Hmotnosť: 91 g
• Rozmery: 229 × 152 × 3 mm
• Dátum vydania: 14. October 2009

Obľúbené z iného súdka

---

---

---