Before revision:  We also introduce the concept of an "implied Sharpe ratio" and derive explicit approximations for this quantity. Like implied volatility, the implied Sharpe ratio can be viewed as a measure of an option's value. The advantage of the implied Sharpe ratio is that, unlike implied volatility, it takes into account an investor's preferences and his alternative investment possibilities. We implement our indifference price , implied volatility and implied Sharpe ratio approximations in two examples.
After revision:  Finally, we implement our indifference price , implied volatility and implied Sharpe ratio approximations in two examples.