Giacomini, Enzo; Härdle, Wolfgang; Krätschmer, Volker - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
non-stationary.
The form (1.2) is justified when prior knowledge about the available dataset
leads to expect some common …
vextendsingleK=s
T
(1.4)
where r> 0 is interest rate, see Section (3) for details.
The knowledge about the risk neutral densities … financial economics, option pricing and risk management as, e.g. es-
timated risk neutral densities allow less liquid …