Search Results - subject:"Risk neutral measure"

Brigo, Damiano; Graceffa, Federico; Neuman, Eyal - In: Quantitative finance 22 (2022) 1, pp. 171-195

Persistent link: https://www.econbiz.de/10012872530

Nonparametric option pricing with generalized entropic estimators

Almeida, Caio; Freire, Gustavo; Azevedo, Rafael; … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1173-1187

Persistent link: https://www.econbiz.de/10014448595

Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives

Santini, Amia - 2022

market. The exploration of financial information that falls underneath the risk-neutral measure, such as derivative prices …

Persistent link: https://www.econbiz.de/10013192353

Pricing of index options in incomplete markets

Almeida, Caio; Freire, Gustavo - In: Journal of financial economics 144 (2022) 1, pp. 174-205

Persistent link: https://www.econbiz.de/10013407088

Tail risk and investors' concerns : evidence from Brazil

Freire, Gustavo - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10013187641

A note on P- vs. Q-expected loss portfolio constraints

Gu, Jia-Wen; Steffensen, Mogens; Zheng, Harry - In: Quantitative finance 21 (2021) 2, pp. 263-270

Persistent link: https://www.econbiz.de/10012424588

Valuation of contingent convertible catastrophe bonds : the case for equity conversion

Burnecki, Krzysztof; Giuricich, Mario Nicoló; … - In: Insurance / Mathematics & economics 88 (2019), pp. 238-254

Persistent link: https://www.econbiz.de/10012105571

Nonparametric estimates of option prices and related quantities

Cassese, Gianluca - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-29

Persistent link: https://www.econbiz.de/10012153325

A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities

Casarin, Roberto; Leisen, Fabrizio; Molina, German; … - 2014

Persistent link: https://www.econbiz.de/10011631789

A Pricing Theory under a Finite Number of Securities Issued: A Synthesis of "Market Microstructure" and "Mathematical Finance"

Uchida, Yoshihiko; Yoshikawa, Daisuke - Institute for Monetary and Economic Studies, Bank of Japan - 2014

Traditional finance theory generally assumes a frictionless market, in which a risk premium is described only by price volatility. In reality, however, the risk premium is influenced by a range of factors including the market microstructure. This paper constructs a novel no- arbitrage and...

Persistent link: https://www.econbiz.de/10010775189