Bali, Turan G.; Cakici, Nusret; Chabi-Yo, Fousseni - Charles A. Dice Center for Research in Financial … - 2012
Aumann and Serrano (2008) and Foster and Hart (2009) introduce riskiness measures based on the physical return distribution of gambles. This paper proposes model-free options' implied measures of riskiness based on the risk-neutral distribution of financial securities. In addition to introducing...