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Robert C. Merton : The Palgrave Companion to MIT Economics
Bodie, Zvi; Lo, Andrew W. - 2023
portfolio selection, capital asset pricing, pricing of derivative securities, credit risk, loan guarantees, financial innovation …
Persistent link: https://www.econbiz.de/10014348991
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A nonparametric approach to pricing and hedging derivative securities via learning networks
Hutchinson, James M. - 1994
Persistent link: https://www.econbiz.de/10000889364
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The derivatives sourcebook
Lim, Terence; Lo, Andrew W.; Merton, Robert C.; … - 2006
Persistent link: https://www.econbiz.de/10003342740
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Nonparametric estimation of state-price densities implicit in financial asset prices
Aït-Sahalia, Yacine; Lo, Andrew W. - 1995
Persistent link: https://www.econbiz.de/10000935916
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Nonparametric estimation of state-price densities implicit in financial asset prices
Aït-Sahalia, Yacine - In: The journal of finance : the journal of the American … 53 (1998) 2, pp. 499-547
Persistent link: https://www.econbiz.de/10001238271
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A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks
Hutchinson, James M. - 2004
We propose a nonparametric method for estimating the pricing formula of a derivative asset using learning networks …
Persistent link: https://www.econbiz.de/10012786270
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Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
Ait-Sahalia, Yacine - 2010
Implicit in the prices of traded financial assets are Arrow- Debreu state prices or, in the continuous-state case, the state-price density (SPD). We construct an estimator for the SPD implicit in option prices and derive an asymptotic sampling theory for this estimator to gauge its accuracy. The...
Persistent link: https://www.econbiz.de/10012763707
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Pricing and Hedging Derivative Securities in Incomplete Markets : An E-Aritrage Model
Bertsimas, Dimitris - 1997
Given a European derivative security with an arbitrary payoff function and a corresponding set of" underlying … securities on which the derivative security is based, we solve the dynamic replication problem: find a" self-financing dynamic …
Persistent link: https://www.econbiz.de/10012472561
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Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
Ait-Sahalia, Yacine - 1995
Implicit in the prices of traded financial assets are Arrow- Debreu state prices or, in the continuous-state case, the state-price density (SPD). We construct an estimator for the SPD implicit in option prices and derive an asymptotic sampling theory for this estimator to gauge its accuracy. The...
Persistent link: https://www.econbiz.de/10012473518
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A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks
Hutchinson, James M. - 1994
We propose a nonparametric method for estimating the pricing formula of a derivative asset using learning networks …
Persistent link: https://www.econbiz.de/10012474210