This dissertation infers descriptive statistical measures from the estimated risk-neutral probability density
functions derived from short-term out-of-the money monthly S&P 500 option prices in respective precrisis
and crisis periods. The generalized beta distribution of the second kind, the mixture of lognormal
distribution and the lognormal polynomial distribution comprise the three parametric methods used to
estimate such density functions. The three estimated risk-neutral probability density functions tend to be
negatively skewed, leptokurtic and exhibit roughly equal distribution mean values.
The constant relative risk aversion coefficient is computed through the method used by Liu et al. (2007)
for quarterly risk-neutral densities. The pre-crisis constant relative risk aversion value is approximately
2.672 with a MLN distribution and 2.666 with a GB2 distribution, compared to constant relative risk
aversion of 2.507 and 2.477, respectively, during the crisis period. The real-world densities became less
skewed, less kurtic and contain a higher first-moment value than the risk-neutral densities. Results are
fairly consistent with available academic literature
