The "volatility smile" of Canadian index options
Estimating the representative agent's or the market's degree of risk aversion from securities prices has a long history. However, it is only since this century that scholars have begun using options data to do so. Options provide a particularly promising context for studying risk preferenc...
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2004
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| Online Access: | http://spectrum.library.concordia.ca/8295/1/MR04481.pdf Sang, Dahai <http://spectrum.library.concordia.ca/view/creators/Sang=3ADahai=3A=3A.html> (2004) The "volatility smile" of Canadian index options. Masters thesis, Concordia University. |