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Recovering Risk Aversion from Option Prices and Realized Returns
8 references·16 citing·34 second hop
Recovering Risk Aversion from Option Prices and Realized Returns (2000)Recovering Risk Aversion from Option Pric…Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Nonparametric Estimation of S…Implied Volatility Functions: Empirical Tests (1998)Implied Volatility Functions:…Recovering Probability Distributions from Option Prices (1996)Recovering Probability Distri…Implied Binomial Trees (1994)Implied Binomial TreesOn estimating the expected return on the market (1980)On estimating the expected re…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…Options and Efficiency (1976)Options and EfficiencyThe Time Variation in Risk Appetite and Uncertainty (2021)The Time Variation in Risk Ap…Information demand and stock market volatility (2012)Information demand and stock …The Recovery Theorem (2011)The Recovery TheoremDynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (2010)Dynamic estimation of volatil…Market conditions, default risk and credit spreads (2009)Market conditions, default ri…Investor Sentiment and Option Prices (2007)Investor Sentiment and Option…Is Economics Performative? Option Theory and the Construction of Derivatives Markets (2006)Is Economics Performative? Op…Demand-Based Option Pricing (2005)Demand-Based Option PricingRisk and Volatility: Econometric Models and Financial Practice (2004)Risk and Volatility: Economet…Option‐Implied Risk Aversion Estimates (2004)Option‐Implied Risk Aversion …An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks (2004)An Equilibrium Model of Rare-…Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Extreme Value Dependence in F…Empirical option pricing: a retrospection (2003)Empirical option pricing: a r…Empirical pricing kernels (2002)Empirical pricing kernelsExpected Option Returns (2001)Expected Option ReturnsCharacteristics of Risk and Return in Risk Arbitrage (2001)Characteristics of Risk and R…Nonparametric risk management and implied risk aversion (2000)Spanning and derivative-security valuation (2000)Theory of rational option pricing (2005)Neglected risks, financial innovation, and financial fragility (2011)Theory of Value (1959)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Option pricing: A simplified approach (1979)Post-'87 crash fears in the S&P 500 futures option market (2000)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)An Engine, Not a Camera (2006)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Theory of Rational Option Pricing (1973)The Model-Free Implied Volatility and Its Information Content (2005)Tails, Fears, and Risk Premia (2011)Option pricing when underlying stock returns are discontinuous (1976)Market Liquidity and Funding Liquidity (2005)Liquidity and Asset Prices (2006)Intermediary asset pricing: New evidence from many asset classes (2017)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Industry costs of equity (1997)Optimum consumption and portfolio rules in a continuous-time model (1971)Stock Market Uncertainty and the Stock-Bond Return Relation (2005)Model Specification and Risk Premia: Evidence from Futures Options (2007)Ex Ante Skewness and Expected Stock Returns (2012)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)The Adaptive Markets Hypothesis (2004)
this work references cited by second hop

References

  • 1980On estimating the expected return on the market2,818 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 1998Implied Volatility Functions: Empirical Tests1,248 cited
  • 1996Recovering Probability Distributions from Option Prices1,086 cited
  • 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices1,060 cited
  • 1976Options and Efficiency830 cited

Cited by

  • 2005Demand-Based Option Pricing889 cited
  • 2001Expected Option Returns771 cited
  • 2001Characteristics of Risk and Return in Risk Arbitrage765 cited
  • 2002Empirical pricing kernels687 cited
  • 2004Option‐Implied Risk Aversion Estimates647 cited
  • 2003Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications633 cited
  • 2004Risk and Volatility: Econometric Models and Financial Practice554 cited
  • 2012Information demand and stock market volatility

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

528 cited
  • 2021The Time Variation in Risk Appetite and Uncertainty476 cited
  • 2006Is Economics Performative? Option Theory and the Construction of Derivatives Markets473 cited
  • 2010Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities470 cited
  • 2004An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks391 cited
  • 2007Investor Sentiment and Option Prices384 cited
  • 2011The Recovery Theorem354 cited
  • 2003Empirical option pricing: a retrospection343 cited
  • 2009Market conditions, default risk and credit spreads341 cited