Extracting Information from Options Markets: Smiles, State–Price Densities and Risk Aversion
应用最新技术从法国衍生品市场提取隐含信息，包括非参数隐含波动率函数、状态价格密度和历史密度，并构建风险厌恶函数估计量，发现隐含波动率随期权价值状态递减，相对风险厌恶函数为正且符合递减相对风险厌恶假设。
In this paper, recent techniques of estimating implied information from derivatives markets are presented and applied empirically to the French derivatives market. We determine nonparametric implied volatility functions, state–price densities and historical densities from a high–frequency CAC 40 stock index option dataset. Moreover, we construct an estimator of the risk aversion function implied by the joint observation of the cross–section of option prices and time–series of underlying asset value. We report a decreasing implied volatility curve with the moneyness of the option. The estimated relative risk aversion functions are positive and globally consistent with the decreasing relative risk aversion assumption.