A data-driven framework for consistent financial valuation and risk measurement
Zhenyu Cui, J. Lars Kirkby, Duy Nguyen
| Year of publication: |
2021
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|---|---|
| Authors: | Cui, Zhenyu ; Kirby, J. Lars ; Nguyen, Duy |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 289.2021, 1 (16.2.), p. 381-398
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| Subject: | Finance | Risk management | Data-driven | Nonparametric | Empirical characteristic function | Empirical density | Model-free | Risikomanagement | Nichtparametrisches Verfahren | Nonparametric statistics | Statistische Verteilung | Statistical distribution | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2020.07.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012416736