Recovery with unbounded diffusion processes

DOI10.1093/ROF/RFW068zbMATH Open1402.91819OpenAlexW3122541860MaRDI QIDQ4555686FDOQ4555686

Authors: Johan Walden 

Publication date: 20 November 2018

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

Full work available at URL: https://doi.org/10.1093/rof/rfw068

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zbMATH Keywords

asset pricingrecovery theoremross recovery

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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• Functional Ross recovery: theoretical results and empirical tests
• Recovering the real-world density and liquidity premia from option data
• 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
• Ross recovery with recurrent and transient processes
• Numerical Ross recovery for diffusion processes using a PDE approach
• Almost sure recovery in quasi-periodic structures
• Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing

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