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A lattice approach to the Beta distribution induced by stochastic dominance : theory and applications

Braouezec, Yann; Cagnol, John - In: Journal of the Operational Research Society 74 (2023) 6, pp. 1424-1442

Persistent link: https://www.econbiz.de/10014335393

GWT : A Novel Probability Weighting Function for Stock Price Distortions

Sun, Jianchun; Wang, Yanyi; Zhang, Shunming - 2023

distinguishes the curvature and elevation of probability weighting. With this function, we prove the CAPM and Security Market Line …

Persistent link: https://www.econbiz.de/10014355285

Safety first, loss probability, and the cross section of expected stock returns

Cao, Ji; Rieger, Marc Oliver; Zhao, Lei - In: Journal of economic behavior & organization : JEBO 211 (2023), pp. 345-369

Persistent link: https://www.econbiz.de/10014447506

Beta and coskewness pricing : perspective from probability weighting

Shi, Yun; Cui, Xiangyu; Zhou, Xun Yu - In: Operations research 71 (2023) 2, pp. 776-790

Persistent link: https://www.econbiz.de/10014308639

Analytic Short Rate Model with Smile and Skew

Turfus, Colin; Romero-Bermudez, Aurelio - 2022

We consider an extension of the Hull-White short rate model which incorporates smile and skew, effectively through a quadratic dependence of the diffusion on the short rate. We derive an asymptotic representation of the pricing kernel for this new model in semi-analytic form, using this to...

Persistent link: https://www.econbiz.de/10014265507