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The recovery theorem
Ross, Stephen A. - 2011
Persistent link: https://www.econbiz.de/10009308221
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The Recovery Theorem
Ross, Stephen A. - 2011
We can only estimate the distribution of stock returns but we observe the distribution of risk neutral state prices. Risk neutral state prices are the product of risk aversion - the pricing kernel - and the natural probability distribution. The Recovery Theorem enables us to separate these and...
Persistent link: https://www.econbiz.de/10012461335
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The recovery theorem
Ross, Stephen A. - In: The journal of finance : the journal of the American … 70 (2015) 2, pp. 615-648
Persistent link: https://www.econbiz.de/10010517170
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Notes on the yield curve
Martin, W. R.; Ross, Stephen A. - In: Journal of financial economics 134 (2019) 3, pp. 669-688
Persistent link: https://www.econbiz.de/10012168669
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Notes on the yield curve
Martin, Ian; Ross, Stephen A. - In: Journal of financial economics 134 (2019) 3, pp. 689-702
Persistent link: https://www.econbiz.de/10012168673
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The Recovery Theorem
Ross, Stephen A. - 2011
We can only estimate the distribution of stock returns but we observe the distribution of risk neutral state prices. Risk neutral state prices are the product of risk aversion - the pricing kernel - and the natural probability distribution. The Recovery Theorem enables us to separate these and...
Persistent link: https://www.econbiz.de/10013121065
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The Recovery Theorem
Ross, Stephen A. - 2013
We can only estimate the distribution of stock returns but from option prices we observe the distribution of state prices. State prices are the product of risk aversion – the pricing kernel – and the natural probability distribution. The Recovery Theorem enables us to separate these so as to...
Persistent link: https://www.econbiz.de/10013088717