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 future progression of the stock price.

Grantor dc:publisher.institution

Division of Actuarial Science

Year dc:date.issued

2010

Author dc:creator

• Pillay, Aveshen

Advisor dc:contributor.advisor

• Hassan, Shakill

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/11350

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/11350