Recovery with unbounded diffusion processes

DOI10.1093/ROF/RFW068MaRDI QIDQ4555686zbMATH OpenOpenAlexFDO

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

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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Cited in

(10)

• The recovery theorem with application to risk management
• Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing
• Ross recovery and the term structure of interest rates
• Ross recovery with recurrent and transient processes
• Forecasting market index volatility using ross-recovered distributions
• Numerical Ross recovery for diffusion processes using a PDE approach
• The pricing kernel puzzle: survey and outlook
• Almost sure recovery in quasi-periodic structures
• Functional Ross recovery: theoretical results and empirical tests
• Recovering the real-world density and liquidity premia from option data

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