Bliss is with the Federal Reserve Bank of Chicago and Panigirtzoglou is with the Bank of England. We are particularly grateful for helpful discussions with Lars Hansen; for comments by Jeremy Berkowitz; Avi Bick; Peter Christopherson; Lars Hansen; George Kapetanios; Jesper Lindé; David Marshall; Marti Subrahmanyam; and seminar participants at the Bank of England; the Federal Reserve Bank of Chicago; Indianapolis University–Purdue University, Indianapolis; McGill University; the Sveriges Riksbank; the University of Georgia; DePaul University; the 2002 Derivatives Securities Conference; 2002 Bachelier Finance Society Congress; the 2002 European Financial Management Association Annual Meeting; the 2002 European Finance Association Annual Meeting; and the Warwick Business School, Financial Options Research Center 2002 conference on Options: Recent Advances; for the guidance and suggestions of the editor Richard Green; and the referee. We thank Darrin Halcomb for his excellent research assistance. The views expressed herein are those of the authors and do not necessarily reflect those of the Federal Reserve Bank of Chicago or the Bank of England. This paper was previously titled “Recovering Risk Aversion from Options.” Any remaining errors are our own.
Option-Implied Risk Aversion Estimates
Version of Record online: 27 NOV 2005
© 2004 the American Finance Association
The Journal of Finance
Volume 59, Issue 1, pages 407–446, February 2004
How to Cite
Bliss, R. R. and Panigirtzoglou, N. (2004), Option-Implied Risk Aversion Estimates. The Journal of Finance, 59: 407–446. doi: 10.1111/j.1540-6261.2004.00637.x
- Issue online: 27 NOV 2005
- Version of Record online: 27 NOV 2005
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