Extracting market information from equity options with exponential Lévy processes (Q1994305): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.jedc.2013.10.001 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2040578088 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric risk management and implied risk aversion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating risk-neutral density with parametric models in interest rate markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling / rank
 
Normal rank
Property / cites work
 
Property / cites work: Processes of normal inverse Gaussian type / rank
 
Normal rank
Property / cites work
 
Property / cites work: SELF-DECOMPOSABILITY AND OPTION PRICING / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing contingent claims on stocks driven by Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial Modelling with Jump Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hyperbolic distributions in finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sato processes and the valuation of structured products / rank
 
Normal rank
Property / cites work
 
Property / cites work: Empirical assessment of an intertemporal option pricing model with latent variables. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Processes of Meixner type / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing with discrete time jump processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Revealing the implied risk-neutral MGF from options: the wavelet method / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Variance Gamma Process and Option Pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some Generalized Functions for the Size Distribution of Income / rank
 
Normal rank
Property / cites work
 
Property / cites work: A generalization of the beta distribution with applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3083935 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The normal inverse gaussian lévy process: simulation and approximation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order / rank
 
Normal rank
Property / cites work
 
Property / cites work: MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES / rank
 
Normal rank

Latest revision as of 04:21, 17 July 2024

scientific article
Language Label Description Also known as
English
Extracting market information from equity options with exponential Lévy processes
scientific article

    Statements

    Extracting market information from equity options with exponential Lévy processes (English)
    0 references
    0 references
    0 references
    0 references
    1 November 2018
    0 references
    risk-neutral density
    0 references
    exponential Lévy processes
    0 references
    pricing kernel
    0 references
    relative risk-aversion coefficient
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references