Extracting market information from equity options with exponential Lévy processes
Year of publication: |
2014
|
---|---|
Authors: | Fabozzi, Frank J. ; Leccadito, Arturo ; Tunaru, Radu S. |
Published in: |
Journal of Economic Dynamics and Control. - Elsevier, ISSN 0165-1889. - Vol. 38.2014, C, p. 125-141
|
Publisher: |
Elsevier |
Subject: | Risk-neutral density | Exponential Lévy processes | Pricing kernel | Relative risk-aversion coefficient |
-
Extracting market information from equity options with exponential Lévy processes
Fabozzi, Frank J., (2014)
-
Bu, Ruijun, (2005)
-
The Forecasting Performance of German Stock Option Densities
Keller, Joachim, (2003)
- More ...
-
Extracting market information from equity options with exponential Lévy processes
Fabozzi, Frank J., (2014)
-
A new method for generating approximation algorithms for financial mathematics applications
Fabozzi, Frank J., (2012)
-
Value at risk and expected shortfall improved calculation based on the power transformation method
Leccadito, Arturo, (2014)
- More ...