Why does Implied Risk Aversion Smile

By Alexandre Ziegler. 2007

130 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6c51d01e39574120b95db3e564877b2eb6fd25b8

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Fousseni Chabi-Yo
2. René Garcia
3. É. Renault
4. Jean-Pierre Florens

In Finance

1. Fousseni Chabi-Yo
2. É. Renault
3. René Garcia

Citations in the corpus

• A tale of two option markets: Pricing kernels and volatility risk ☆ (2014, unknown): “…many studies have proposed different explanations for the U-shaped pricing kernel, including models with missing state variables in Chabi-Yo et al. (2008), Chabi-Yo (2011), and Christoffersen et al. (2010), and models with heterogeneous agents in Bakshi and Madan (2008) and Ziegler (2007).”
• State Dependence Can Explain the Risk Aversion Puzzle (2008, background): “Ziegler (2007) also argues that it is hard to rationalize the implied risk aversion smile by belief misestimation if agents have homogeneous beliefs.”
• Asset Prices with Heterogeneity in Preferences and Beliefs (2014, unknown): “(2)Ziegler (2007) also finds that pessimistic beliefs are needed to match the “smile” in option prices.”