Narrow search
Showing 1 - 10 of 1,415
Cover Image
Sentiment lost : the effect of projecting the empirical pricing kernel onto a smaller filtration set
Sala, Carlo; Barone-Adesi, Giovanni - 2015
Supported by empirical examples, this paper provides a theoretical analysis on the impacts of using a suboptimal information set for the estimation of the empirical pricing kernel and, more in general, for the validity of the fundamental theorems of asset pricing. While inferring the...
Persistent link: https://www.econbiz.de/10011506352
Cover Image
The price of granularity and fractional finance
Tapiero, Charles S.; Tapiero, Oren J.; Jumarie, Guy - In: Risk and decision analysis 6 (2015/2016) 1, pp. 7-21
Persistent link: https://www.econbiz.de/10011573716
Cover Image
The semi-martingale equilibrium equity premium for risk-neutral investors
Mukupa, George M.; Offen, Elias R. - In: International journal of financial engineering 5 (2018) 4, pp. 1-15
Persistent link: https://www.econbiz.de/10012028816
Cover Image
Equilibrium equity premium in a semi martingale market when jump amplitudes follow a binomial distribution
Mukupa, George M.; Offen, Elias R. - In: Journal of mathematical finance 8 (2018) 3, pp. 599-612
Persistent link: https://www.econbiz.de/10011968727
Cover Image
Three essays on asset pricing
Da, Zhi - 2006
Persistent link: https://www.econbiz.de/10003908096
Cover Image
Learning, confidence and option prices
Shaliastovich, Ivan - 2009 - Current version: October 2009
Persistent link: https://www.econbiz.de/10009355444
Cover Image
The information content of the embedded deflation option in TIPS
Grishchenko, Olesya V.; Vanden, Joel M.; Zhang, Jianing - 2011
Persistent link: https://www.econbiz.de/10009501966
Cover Image
Estimating probability distributions of future asset prices : empirical transformations from option-implied risk-neutral to real-world density functions
Vincent-Humphreys, Rupert de; Noss, Joseph - 2012
Persistent link: https://www.econbiz.de/10009559811
Cover Image
Efficient bond price approximations in nonlinear equilibrium-based term structure models
Andreasen, Martin Møller; Zabczyk, Pawel - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10011311205
Cover Image
On the pricing of regular premium variable annuities using options
Poufinas, Thomas - In: International journal of financial markets and derivatives 4 (2015) 1, pp. 54-77
Persistent link: https://www.econbiz.de/10011316654