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Why Does Implied Risk Aversion Smile?

16 references·16 citing·36 second hopsampled

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References

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2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
1996Asset Pricing with Heterogeneous Consumers1,197 cited
1968The Theory of Syndicates1,178 cited
2004Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices1,116 cited
1977THE DEMAND FOR RISKY ASSETS1,052 cited
2003Alternative models for stock price dynamics893 cited
2002An Empirical Investigation of Continuous‐Time Equity Return Models868 cited
2000Recovering Risk Aversion from Option Prices and Realized Returns837 cited
2000Nonparametric risk management and implied risk aversion740 cited
2002Empirical pricing kernels687 cited
1985Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978646 cited

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1985

On Jumps in Common Stock Prices and Their Impact on Call Option Pricing

409 cited

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