Equilibrium preference free pricing of derivatives under the generalized beta distributions (Q541594): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / zbMATH DE Number: 5904987 / rank | |||
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generalized beta distribution | |||
| Property / zbMATH Keywords: generalized beta distribution / rank | |||
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risk neutral valuation relationship | |||
| Property / zbMATH Keywords: risk neutral valuation relationship / rank | |||
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asset specific pricing kernel | |||
| Property / zbMATH Keywords: asset specific pricing kernel / rank | |||
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implied volatility | |||
| Property / zbMATH Keywords: implied volatility / rank | |||
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Revision as of 10:22, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Equilibrium preference free pricing of derivatives under the generalized beta distributions |
scientific article |
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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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