Recovering Probabilities and Risk Aversion from Option Prices and Realized Returns
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References listed on IDEAS
- Jackwerth, Jens Carsten, 1996. "Generalized Binomial Trees," MPRA Paper 11635, University Library of Munich, Germany, revised 12 May 1997.
- Jackwerth, Jens Carsten, 2000.
"Recovering Risk Aversion from Option Prices and Realized Returns,"
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005. "State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle," Staff Working Papers 05-9, Bank of Canada.
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- Lüders, Erik, 2002. "Asset Prices and Alternative Characterizations of the Pricing Kernel," ZEW Discussion Papers 02-10, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
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KeywordsRisk Aversion; Option; Realized Returns;
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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