Recovery with Unbounded Diffusion Processes*

DOI10.1093/rof/rfw068zbMath1402.91819OpenAlexW3122541860MaRDI QIDQ4555686

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

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)

Related Items (7)

Forecasting market index volatility using Ross-recovered distributions ⋮ The pricing kernel puzzle: survey and outlook ⋮ Numerical Ross Recovery for Diffusion Processes Using a PDE Approach ⋮ Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing ⋮ Ross recovery with recurrent and transient processes ⋮ Recovering the real-world density and liquidity premia from option data ⋮ Functional Ross recovery: theoretical results and empirical tests

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