Risk-neutral measure

Results: 342



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11THE BINOMIAL OPTION PRICING MODEL The Binomial Option Pricing Model The authors consider the case of option pricing for a binomial process—the first in a series of articles in Financial Engineering. by Simon Benninga

THE BINOMIAL OPTION PRICING MODEL The Binomial Option Pricing Model The authors consider the case of option pricing for a binomial process—the first in a series of articles in Financial Engineering. by Simon Benninga

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Source URL: pluto.mscc.huji.ac.il

Language: English - Date: 2014-02-02 05:57:49
12PRICING OF SWING OPTIONS IN A MEAN REVERTING MODEL WITH JUMPS MATS KJAER G¨ oteborg University Abstract. We investigate the pricing of swing options in a model where the

PRICING OF SWING OPTIONS IN A MEAN REVERTING MODEL WITH JUMPS MATS KJAER G¨ oteborg University Abstract. We investigate the pricing of swing options in a model where the

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Source URL: www.bbk.ac.uk

Language: English - Date: 2007-03-27 13:47:19
13(Almost) Model-Free Recovery ∗ Paul Schneider†and Fabio Trojani‡ January 9, 2016

(Almost) Model-Free Recovery ∗ Paul Schneider†and Fabio Trojani‡ January 9, 2016

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Source URL: www.cb.cityu.edu.hk

Language: English - Date: 2016-07-08 02:31:25
14Revisiting Asset Pricing Anomalies in an Exchange Economy∗ Christine A. Parlour† Richard Stanton‡ Johan Walden§

Revisiting Asset Pricing Anomalies in an Exchange Economy∗ Christine A. Parlour† Richard Stanton‡ Johan Walden§

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Source URL: www.hec.unil.ch

Language: English - Date: 2010-03-11 08:51:46
15Optimal investment with price impact Peter Bank joint work with Moritz Voß

Optimal investment with price impact Peter Bank joint work with Moritz Voß

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Source URL: www.ccfz.ch

Language: English - Date: 2014-09-13 03:10:16
16An Anatomy of the Equity Premium∗ Paul Schneider† January 9, 2016 Abstract This paper introduces a decomposition of the forward market return in terms of higher-order realized, and option-implied risk aversion, conne

An Anatomy of the Equity Premium∗ Paul Schneider† January 9, 2016 Abstract This paper introduces a decomposition of the forward market return in terms of higher-order realized, and option-implied risk aversion, conne

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Source URL: www.cb.cityu.edu.hk

Language: English - Date: 2016-07-08 02:31:01
17Estimation of Risk Neutral Measures using the Generalized Two-Factor Log-Stable Option Pricing Model J. Huston McCulloch and Seung Hwan Lee† March 26, 2008 Abstract

Estimation of Risk Neutral Measures using the Generalized Two-Factor Log-Stable Option Pricing Model J. Huston McCulloch and Seung Hwan Lee† March 26, 2008 Abstract

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Source URL: www.econ.ohio-state.edu

Language: English - Date: 2012-01-12 12:02:17
18Market Price of Risk Specifications for Affine Models: Theory and Evidence∗ Patrick Cheridito† Damir Filipovi´c‡

Market Price of Risk Specifications for Affine Models: Theory and Evidence∗ Patrick Cheridito† Damir Filipovi´c‡

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Source URL: www.princeton.edu

Language: English - Date: 2005-09-15 11:12:23
19MATHEMATISCHES FORSCHUNGSINSTITUT OBEFRWOLFACH T a g u n g s b e r i c h t

MATHEMATISCHES FORSCHUNGSINSTITUT OBEFRWOLFACH T a g u n g s b e r i c h t

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Source URL: fam.tuwien.ac.at

Language: English - Date: 2003-06-14 17:14:35
20Ane Term Structure Modeling and Macroeconomic Risks at the Zero Lower Bound Guillaume Roussellet∗

Ane Term Structure Modeling and Macroeconomic Risks at the Zero Lower Bound Guillaume Roussellet∗

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Source URL: www.cb.cityu.edu.hk

Language: English - Date: 2016-07-08 02:30:00