Option-Implied Risk-Neutral Distributions and Risk Aversion

CFA Institute Research Foundation of AIMR Publications, pp. 1-86, March 2004

Posted: 19 Nov 2008

See all articles by Jens Carsten Jackwerth

Jens Carsten Jackwerth

University of Konstanz - Department of Economics

Date Written: March 1, 2004

Abstract

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.

Suggested Citation

Jackwerth, Jens Carsten, Option-Implied Risk-Neutral Distributions and Risk Aversion (March 1, 2004). CFA Institute Research Foundation of AIMR Publications, pp. 1-86, March 2004, Available at SSRN: https://ssrn.com/abstract=1303779

Jens Carsten Jackwerth (Contact Author)

University of Konstanz - Department of Economics ( email )

Universitaetsstr. 10
Konstanz, 78457
Germany
+497531882196 (Phone)
+497531883120 (Fax)

HOME PAGE: http://cms.uni-konstanz.de/wiwi/jackwerth/

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