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Extracting risk aversion estimates from option prices/implied volatility
The risk neutral density function is the distribution implied by the market price of derivative securities, namely options. It encloses the assumption that arbi-trage free conditions persist in the market. Given the historical evolution of stock prices, an investor will form some belief about the fu...
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2015
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| _version_ | 1867613216339656704 |
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| access_status_str | Open Access |
| author | Pillay, Aveshen |
| author2 | Hassan, Shakill |
| author_browse | Hassan, Shakill Pillay, Aveshen |
| author_facet | Hassan, Shakill Pillay, Aveshen |
| author_sort | Pillay, Aveshen |
| collection | Thesis |
| description | The risk neutral density function is the distribution implied by the market price of derivative securities, namely options. It encloses the assumption that arbi-trage free conditions persist in the market. Given the historical evolution of stock prices, an investor will form some belief about the future progression of the stock price. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/11350 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:37.404Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/11350 Extracting risk aversion estimates from option prices/implied volatility Pillay, Aveshen Hassan, Shakill Mathematical Finance The risk neutral density function is the distribution implied by the market price of derivative securities, namely options. It encloses the assumption that arbi-trage free conditions persist in the market. Given the historical evolution of stock prices, an investor will form some belief about the future progression of the stock price. 2015-01-05T06:48:18Z 2015-01-05T06:48:18Z 2010 Master Thesis Masters MPhil http://hdl.handle.net/11427/11350 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance Pillay, Aveshen Extracting risk aversion estimates from option prices/implied volatility |
| thesis_degree_str | Master's |
| title | Extracting risk aversion estimates from option prices/implied volatility |
| title_full | Extracting risk aversion estimates from option prices/implied volatility |
| title_fullStr | Extracting risk aversion estimates from option prices/implied volatility |
| title_full_unstemmed | Extracting risk aversion estimates from option prices/implied volatility |
| title_short | Extracting risk aversion estimates from option prices/implied volatility |
| title_sort | extracting risk aversion estimates from option prices implied volatility |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/11350 |
| work_keys_str_mv | AT pillayaveshen extractingriskaversionestimatesfromoptionpricesimpliedvolatility |