Nonparametric estimation of risk-neutral distribution via the empirical Esscher transform
Alternative title: | Estimação não paramétrica da distribuição neutra ao risco através da transformada de Esscher empírica |
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Year of publication: |
April-June 2017
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Authors: | Pereira, Manoel ; Veiga, Alvaro |
Published in: |
Revista Brasileira de Finanças : RBFin. - Rio de Janeiro : [Verlag nicht ermittelbar], ISSN 1984-5146, ZDB-ID 2549202-0. - Vol. 15.2017, 2, p. 167-195
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Subject: | Nonparametric estimation | risk-neutral distribution | option pricing | empirical Esscher transform | Optionspreistheorie | Option pricing theory | Nichtparametrisches Verfahren | Nonparametric statistics | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory |
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