A class of risk neutral densities with heavy tails
Year of publication: |
2001-01-10
|
---|---|
Authors: | Hartvig, Niels VÖver ; Jensen, Jens Ledet ; Pedersen, Jan |
Published in: |
Finance and Stochastics. - Springer. - Vol. 5.2001, 1, p. 115-128
|
Publisher: |
Springer |
Subject: | Christmas tree densities | risk neutral density | Markov chain Monte Carlo | inverse problems | diffusion model |
-
Mixtures of t-distributions for finance and forecasting
Giacomini, Raffaella, (2007)
-
Measuring Option Implied Degree of Distress in the US Financial Sector Using the Entropy Principle
Matros, Philipp, (2012)
-
Updating the Option Implied Probability of Default Methodology
Vilsmeier, Johannes, (2011)
- More ...
-
A Class of Risk Neutral Densities with Heavy Tails
Hartvig, Niels Vaever, (2001)
-
A class of risk neutral densities with heavy tails
Hartvig, Niels Vaever, (2001)
-
A Unifying Framework and Comparison of Algorithms for Non‐negative Matrix Factorisation
Hobolth, Asger, (2020)
- More ...