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In search of preference shock risks : Evidence from longevity risks and momentum profits
Chen, Zhanhui; Yang, Bowen - In: Journal of financial economics 133 (2019) 1, pp. 225-249
Persistent link: https://www.econbiz.de/10012164076
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On Death Bond Pricing
Erkmen, Bilkan - 2011
Persistent link: https://www.econbiz.de/10013126894
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Martingale densities for general asset prices
Schweizer, Martin - 1991
Persistent link: https://www.econbiz.de/10000825147
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Equity valuation under stochastic rates
Realdon, Marco (contributor) - 2006
Persistent link: https://www.econbiz.de/10003335020
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Bayesian estimation of asymmetric jump-diffusion processes
Frame, Samuel J.; Ramezani, Cyrus A. - In: Annals of financial economics 9 (2014) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10010512597
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Joint characteristic function of stock log-price and squared volatility in the Bates model and its asset pricing applications
Zhylyevskyy, Oleksandr - In: Theoretical economics letters 2 (2012) 4, pp. 400-407
Persistent link: https://www.econbiz.de/10009745992
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Jointly estimating jump beats
Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 131-148
Persistent link: https://www.econbiz.de/10010337468
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Pricing a European option in a black-scholes quanto market when stock price is a semimartingale
Offen, E. R.; Lungu, E. M. - In: Journal of mathematical finance 5 (2015) 3, pp. 286-303
Persistent link: https://www.econbiz.de/10011438535
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The intrinsic bounds on the risk premium of Markovian pricing kernels
Han, Jihun; Park, Hyungbin - In: Finance research letters 13 (2015), pp. 36-44
Persistent link: https://www.econbiz.de/10011552334
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Does the pricing kernel anomaly reflect forward looking beliefs?
Sala, Carlo - 2015
We propose a nonparametric Bayesian approach for the estimation of the pricing kernel. Historical stock returns and option market data are combined through the Dirichlet Process (DP) to construct an option-adjusted physical measure. The precision parameter of the DP process is calibrated to the...
Persistent link: https://www.econbiz.de/10011506354