مرکز منطقه ای اطلاع رساني علوم و فناوري - Closed-form transformations from risk-neutral to real-world distributions

Title of article :

Closed-form transformations from risk-neutral to real-world distributions

Author/Authors :

Xiaoquan Liu، نويسنده , , Mark B. Shackleton، نويسنده , , Stephen J. Taylor، نويسنده , , Xinzhong Xu، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2007

Pages :

From page :

1501

To page :

1520

Keywords :

Generalized beta , Lognormal mixture , Real-world density , Risk-neutral density

Journal title :

Journal of Banking and Finance

Serial Year :

2007

Journal title :

Journal of Banking and Finance

Record number :

194042

Link To Document :