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~isPartOf:"BGPE discussion paper : Bavarian graduate program in economics"
~subject:"Optionspreistheorie"
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Optionspreistheorie
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BGPE discussion paper : Bavarian graduate program in economics
International journal of theoretical and applied finance
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Applying maximum entropy to econometric problems
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Diskussionspapiere / Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie
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Economic dynamics and sustainable development ; Part 1
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Updating the option implied probability of default methodology
Vilsmeier, Johannes
-
2011
. -- option implied probability of default ; risk neutral density ; cross
entropy
…
Persistent link: https://www.econbiz.de/10009313603
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The multivariate option iPoD framework : assessing systemic financial risk
Matros, Philipp
;
Vilsmeier, Johannes
-
2013
by combining the
entropy
approach, dynamic copulas and rank correlations. Our density estimates exhibit information about …
Persistent link: https://www.econbiz.de/10010193341
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