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Diffusion models for exchange rates in a target zone
Stegenborg Larsen, Kristian; Sørensen, Michael - In: Mathematical finance : an international journal of … 17 (2007) 2, pp. 285-306
Persistent link: https://www.econbiz.de/10003543132
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Diffusion models for exchange rates in a target zone
Stegenborg Larsen, Kristian (contributor);  … - 2003 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001767507
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Pitfalls in estimating jump-diffusion models
Honoré, Peter - 1998
Persistent link: https://www.econbiz.de/10000994072
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The dual jump diffusion model for security prices
Frost, Daniel Allen - 1993
Persistent link: https://www.econbiz.de/10000996118
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Asymptotic formulas for the derivates of probability functions and their Monte Carlo estimations
Garnier, Josselin; Omrane, Abdennebi; Rouchdy, Youssef - In: European journal of operational research : EJOR 198 (2009) 3, pp. 848-858
Persistent link: https://www.econbiz.de/10003857819
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Moment-implied densities : properties and applications
Ghysels, Eric; Wang, Fangfang - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 88-111
Persistent link: https://www.econbiz.de/10010380476
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The pricing of credit derivatives and estimation of default probability
Zhou, Hanghang; Zhao, Dianli - In: Journal of mathematical finance 5 (2015) 3, pp. 243-248
Persistent link: https://www.econbiz.de/10011438503
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Explicit form of approximate transition probability density functions of diffusion processes
Choi, Seungmoon - In: Journal of econometrics 187 (2015) 1, pp. 57-73
Persistent link: https://www.econbiz.de/10011498739
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Estimating Probability Distributions of Future Asset Prices : Empirical Transformations from Option-Implied Risk-Neutral to Real-World Density Functions
de Vincent-Humphreys, Rupert - 2012
The prices of derivatives contracts can be used to estimate ‘risk-neutral' probability density functions that give an indication of the weight investors place on different future prices of their underlying assets, were they risk-neutral. In the likely case that investors are risk-averse, this...
Persistent link: https://www.econbiz.de/10013104539