Browsing NHH Brage by Author "Zhou, Hong Cheng"
Now showing items 1-1 of 1
-
Option implied risk aversion
Zhou, Hong Cheng (Master thesis, 2012)Risk aversion has been empirically estimated using different equilibrium models [Hansen and Singleton (1982, 1983), Mehra and Prescott (1985)]. However, the results are controversial. Jackwerth (2000) and Ait-Sahalia and ...