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Attitudes toward the timing of resolution of uncertainty and the existence of recursive utility

Ma, Chenghu - In: Journal of Economic Dynamics and Control 23 (1998) 1, pp. 97-112

Persistent link: https://www.econbiz.de/10005021381

Stable equilibrium in beliefs in extensive games with perfect information

Luo, Xiao; Ma, Chenghu - In: Journal of Economic Dynamics and Control 25 (2001) 11, pp. 1801-1825

Persistent link: https://www.econbiz.de/10005229374

Uncertainty aversion and rationality in games of perfect information

Ma, Chenghu - In: Journal of Economic Dynamics and Control 24 (2000) 3, pp. 451-482

Persistent link: https://www.econbiz.de/10005229724

Revealing the implied risk-neutral MGF from options: The wavelet method

Haven, Emmanuel; Liu, Xiaoquan; Ma, Chenghu; Shen, Liya - In: Journal of Economic Dynamics and Control 33 (2009) 3, pp. 692-709

Options are believed to contain unique information on the risk-neutral moment generating function (MGF) or the risk-neutral probability density function (PDF) of the underlying asset. This paper applies the wavelet method to approximate the implied risk-neutral MGF from option prices. Monte...

Persistent link: https://www.econbiz.de/10005229762