Parametric estimation of risk neutral density functions
Year of publication: |
2010
|
---|---|
Authors: | Grith, Maria ; Krätschmer, Volker |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | Optionspreistheorie | Risikoneutralität | Statistische Verteilung | Schätztheorie | risk neutral valuation principle | risk neutral distribution | logprice risk neutral distribution | risk neutral density function | Black Scholes formula | Fast Fourier Transform method | log-normal distributions | mixtures of log-normal distributions | generalized gamma distributions | model calibration | Merton's jump diffusion model | Heston's volatility model |
Series: | SFB 649 Discussion Paper ; 2010-045 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 637059077 [GVK] hdl:10419/56744 [Handle] |
Classification: | C13 - Estimation ; C16 - Specific Distributions ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: |
-
Parametric estimation of risk neutral density functions
Grith, Maria, (2010)
-
Parametric estimation of risk neutral density functions
Grith, Maria, (2010)
-
Ornelas, Jose Renato Haas, (2011)
- More ...
-
Reference dependent preferences and the EPK puzzle
Grith, Maria, (2013)
-
Parametric estimation of risk neutral density functions
Grith, Maria, (2010)
-
Reference dependent preferences and the EPK puzzle
Grith, Maria, (2013)
- More ...