Option-Implied Risk-Neutral Distributions and Risk Aversion
By JackwerthJens Carsten. 2004
136 citations recorded by the source corpus.
Analysts are accustomed to using prices for the information they contain. A stock price, for example, can be thought of as an expected value of future cash flows. Each futures price and option price tells the analyst a bit more about the probability distribution under which those expectations should be accepted. In this Research Foundation monograph, the author describes what can and cannot be learned from option prices for applications in financial analysis and provides examples for each step so that the reader can actually apply the concepts.
View Paper: https://www.semanticscholar.org/paper/199c4de92a000c601ee75371d3d26c3f11f62c28
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
- Jens Carsten Jackwerth
- George M. Constantinides
- Alexi Savov
- Alan Moreira
- Zhiguo He
- Alexander David
- Amit Goyal
- Kai Li
Citations in the corpus
- Mispricing of S&P 500 Index Options (2006, unknown): “Brown and Jackwerth (2004) suggested that the reported violations of the monotonicity of the pricing kernel may be an artifact of the maintained hypothesis that the pricing kernel is state independent but concluded that volatility cannot be the sole omitted state variable in the pricing kernel.”
- The Puzzle of Index Option Returns (2013, background): “Many of these models are critically discussed in Hull (2011), Jackwerth (2004), Lian (2011), McDonald (2006), and Singleton (2006).”