Estimating risk-neutral density with parametric models in interest rate markets
Year of publication: |
2009
|
---|---|
Authors: | Fabozzi, Frank ; Tunaru, Radu ; Albota, George |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 9.2009, 1, p. 55-70
|
Publisher: |
Taylor & Francis Journals |
Subject: | Risk-neutral density | Real-world density | Power utility function | Generalized beta distribution | Generalized gamma distribution | Burr3 distribution | Caps and floors |
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