Risk-neutral densities : advanced methods of estimating nonnormal options underlying asset prices and returns
Year of publication: |
2020
|
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Authors: | Santos, André ; Guerra, João |
Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 14.2020, 2, p. 41-64
|
Subject: | risk-neutral density | option pricing | Lévy processes | natural spline | hypergeometric function | Brazilian real exchange rate | Optionspreistheorie | Option pricing theory | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Kaufkraftparität | Purchasing power parity | Brasilien | Brazil |
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