Functional Ross recovery: theoretical results and empirical tests
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Publication:2338541
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- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A general version of the fundamental theorem of asset pricing
- A practical guide to splines.
- Arbitrage-free SVI volatility surfaces
- Asset Prices in an Exchange Economy
- Bézier and B-spline techniques
- Dynamic valuation decomposition within stochastic economies
- Integrating Products of B-Splines
- Long-Term Risk: A Martingale Approach
- Long-Term Risk: An Operator Approach
- Martingales and arbitrage in multiperiod securities markets
- Nonparametric identification of positive eigenfunctions
- Nonparametric risk management and implied risk aversion
- Nonparametric stochastic discount factor decomposition
- Positive compact operators on Banach lattices
- Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing
- Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
- Recovery with unbounded diffusion processes
- Ross recovery with recurrent and transient processes
- Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
- Testing for the Markov property in time series
- The pricing kernel puzzle in forward looking data
- Three solutions to the pricing kernel puzzle
- Totally positive bases for shape preserving curve design and optimality of B-splines
- Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth
Cited in
(7)- Perron-Frobenius theory recovers more than you might think: the example of limited participation
- The recovery theorem with application to risk management
- Forecasting market index volatility using ross-recovered distributions
- Ross recovery and the term structure of interest rates
- Recovery with unbounded diffusion processes
- Ross recovery with recurrent and transient processes
- Numerical Ross recovery for diffusion processes using a PDE approach
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