Option-Implied Risk-Neutral Distributions and Risk Aversion

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Jackwerth_Option_Implied.pdf
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2004
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0-943205-66-2
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Charlotteville : Research Foundation of AIMR
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Zusammenfassung

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.

Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
330 Wirtschaft
Schlagwörter
Equity Investments, Fundamental Analysis and Valuation Models, Derivative Instruments, Equity Derivatives, Debt Derivatives
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ISO 690JACKWERTH, Jens, 2004. Option-Implied Risk-Neutral Distributions and Risk Aversion. Charlotteville : Research Foundation of AIMR. ISBN 0-943205-66-2
BibTex
@book{Jackwerth2004Optio-12067,
  year={2004},
  isbn={0-943205-66-2},
  publisher={Charlotteville : Research Foundation of AIMR},
  title={Option-Implied Risk-Neutral Distributions and Risk Aversion},
  author={Jackwerth, Jens}
}
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