𝔖 Bobbio Scriptorium
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Implied Risk Aversion Parameter from Option Prices

✍ Scribed by Kenneth S. Bartunek; Mustafa Chowdhury

Book ID
109178066
Publisher
John Wiley and Sons
Year
1997
Tongue
English
Weight
903 KB
Volume
32
Category
Article
ISSN
0732-8516

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## Abstract Previously, few, if any, comparative tests of performance of Jackwerth's (1997) generalized binomial tree (GBT) and Derman and Kani (1994) implied volatility tree (IVT) models were done. In this paper, we propose five different weight functions in GBT and test them empirically compared