Estimating time-varying risk aversion from option prices and realized returns

Maria Kosolapova, Michael Hanke and Alex Weissensteiner

Quantitative Finance, 2023, vol. 23, issue 1, 1-17

Abstract: Risk aversion is estimated from risk-neutral densities and realized index returns

Date: 2023
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DOI: 10.1080/14697688.2022.2130086

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