Extracting risk aversion estimates from option prices/implied volatility

The risk neutral density function is the distribution implied by the market price of derivative securities, namely options. It encloses the assumption that arbi-trage free conditions persist in the market. Given the historical evolution of stock prices, an investor will form some belief about the fu...

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Bibliographic Details
Main Author:	Pillay, Aveshen
Other Authors:	Hassan, Shakill
Format:	Dissertation
Language:	English
Published:	University of Cape Town 2015
Subjects:	Mathematical Finance
Online Access:	http://hdl.handle.net/11427/11350

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spelling	ndltd-netd.ac.za-oai-union.ndltd.org-uct-oai-localhost-11427-113502020-10-06T05:11:02Z Extracting risk aversion estimates from option prices/implied volatility Pillay, Aveshen Hassan, Shakill Mathematical Finance The risk neutral density function is the distribution implied by the market price of derivative securities, namely options. It encloses the assumption that arbi-trage free conditions persist in the market. Given the historical evolution of stock prices, an investor will form some belief about the future progression of the stock price. 2015-01-05T06:48:18Z 2015-01-05T06:48:18Z 2010 Master Thesis Masters MPhil http://hdl.handle.net/11427/11350 eng application/pdf University of Cape Town Faculty of Commerce Division of Actuarial Science
collection	NDLTD
language	English
format	Dissertation
sources	NDLTD
topic	Mathematical Finance
spellingShingle	Mathematical Finance Pillay, Aveshen Extracting risk aversion estimates from option prices/implied volatility
description	The risk neutral density function is the distribution implied by the market price of derivative securities, namely options. It encloses the assumption that arbi-trage free conditions persist in the market. Given the historical evolution of stock prices, an investor will form some belief about the future progression of the stock price.
author2	Hassan, Shakill
author_facet	Hassan, Shakill Pillay, Aveshen
author	Pillay, Aveshen
author_sort	Pillay, Aveshen
title	Extracting risk aversion estimates from option prices/implied volatility
title_short	Extracting risk aversion estimates from option prices/implied volatility
title_full	Extracting risk aversion estimates from option prices/implied volatility
title_fullStr	Extracting risk aversion estimates from option prices/implied volatility
title_full_unstemmed	Extracting risk aversion estimates from option prices/implied volatility
title_sort	extracting risk aversion estimates from option prices/implied volatility
publisher	University of Cape Town
publishDate	2015
url	http://hdl.handle.net/11427/11350
work_keys_str_mv	AT pillayaveshen extractingriskaversionestimatesfromoptionpricesimpliedvolatility
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Extracting risk aversion estimates from option prices/implied volatility

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