Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia*

DOI10.1007/S10679-005-2989-7zbMATH Open1125.91347OpenAlexW2022562554MaRDI QIDQ3374843FDOQ3374843

Authors: Peter Hördahl, David Vestin 

Publication date: 23 February 2006

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp274.pdf

Recommendations

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Mathematics Subject Classification ID

Cited In (3)

• Pricing catastrophe risk bonds: a mixed approximation method
• Risk measures and behaviors for bonds under stochastic interest rate models
• Estimating risk-neutral density with parametric models in interest rate markets

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