Equilibrium preference free pricing of derivatives under the generalized beta distributions (Q541594): Difference between revisions

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Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 91G20 / rank
 
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Property / zbMATH DE Number
 
Property / zbMATH DE Number: 5904987 / rank
 
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Property / zbMATH Keywords
 
generalized beta distribution
Property / zbMATH Keywords: generalized beta distribution / rank
 
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Property / zbMATH Keywords
 
risk neutral valuation relationship
Property / zbMATH Keywords: risk neutral valuation relationship / rank
 
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Property / zbMATH Keywords
 
asset specific pricing kernel
Property / zbMATH Keywords: asset specific pricing kernel / rank
 
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Property / zbMATH Keywords
 
implied volatility
Property / zbMATH Keywords: implied volatility / rank
 
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Property / MaRDI profile type: MaRDI publication profile / rank
 
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Property / full work available at URL: https://doi.org/10.1007/s11147-010-9051-4 / rank
 
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Property / OpenAlex ID: W2069494894 / rank
 
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Property / cites work
 
Property / cites work: Q5558293 / rank
 
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Latest revision as of 02:59, 4 July 2024

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Equilibrium preference free pricing of derivatives under the generalized beta distributions
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    Equilibrium preference free pricing of derivatives under the generalized beta distributions (English)
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    7 June 2011
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    generalized beta distribution
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    risk neutral valuation relationship
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    asset specific pricing kernel
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    implied volatility
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