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  • Search: subject:"Risk-Neutral Distribution"
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Year of publication
Subject
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Optionspreistheorie 17 Option pricing theory 15 Statistische Verteilung 12 Risk-neutral distribution 11 risk-neutral distribution 11 Option trading 10 Optionsgeschäft 10 Statistical distribution 10 Volatility 9 Volatilität 9 risk neutral distribution 7 Options 5 Estimation 4 Implied risk-neutral distribution 4 Risiko 4 Risk 4 Schätzung 4 Stochastic process 4 Stochastischer Prozess 4 European sovereign debt crisis 3 Forecasting model 3 GARCH 3 Generalized Hyperbolic Distribution 3 Prognoseverfahren 3 Schätztheorie 3 Skewness 3 bootstrap 3 confidence intervals 3 credit default swaps 3 currency options 3 currency stability 3 pricing 3 skewness 3 ARCH models 2 Aktienindex 2 Ankündigungseffekt 2 Announcement effect 2 Black Scholes formula 2 CAPM 2 Capital income 2
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Online availability
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Free 19 Undetermined 13
Type of publication
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Book / Working Paper 24 Article 13
Type of publication (narrower categories)
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Article in journal 11 Aufsatz in Zeitschrift 11 Working Paper 8 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4 Aufsatz im Buch 1 Book section 1 Collection of articles of several authors 1 Hochschulschrift 1 Sammelwerk 1 Thesis 1
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Language
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English 26 Undetermined 11
Author
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Söderlind, Paul 4 Andersson, Magnus 3 Bekkour, Lamia 3 Gagnon, Marie-Hélène 3 Jackwerth, Jens Carsten 3 Jin, Xisong 3 Lehnert, Thorsten 3 Lomakka, Magnus 3 Power, Gabriel J. 3 Rasmouki, Fanou 3 Chorro, Christophe 2 Grith, Maria 2 Guegan, Dominique 2 Ielpo, Florian 2 Kim, Sol 2 Kostakis, Alexandros 2 Krätschmer, Volker 2 Lee, Geul 2 Perrakis, Stylianos 2 Taylor, Stephen J. 2 Toupin, Dominique 2 Wolff, Christian 2 Yadav, Pradeep K. 2 Zhang, Yuanyuan 2 Alexiou, Lykourgos 1 Ammann, Manuel 1 Bellini, Fabio 1 Constantinaides, George M. 1 Constantinides, George M. 1 Cui, Zhenyu 1 Do, Thi Quynh Trang 1 Duchêne, Gérard 1 Feser, Alexander 1 Goyal, Amit 1 Hamisultane, Hélène 1 IBARAKI, TOSHIHIDE 1 Ivanovas, Anselm 1 Mu, Liangyi 1 NISHIHARA, MICHI 1 Otsubo, Yoichi 1
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Institution
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C.E.P.R. Discussion Papers 3 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 2 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 2 HAL 2 Centre de Recherche en Économie Appliquée (CREA), Faculté de droit, d'économie et de finance 1 Institut für Finanzmarktforschung, Wirtschafts- und Sozialwissenschaftliche Fakultät 1 Luxembourg School of Finance, Faculté de droit, d'économie et de finance 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Sveriges Riksbank 1 Zentrum für Finanzen und Ökonometrie, Fachbereich Wirtschaftswissenschaften 1
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Published in...
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CEPR Discussion Papers 3 Asia-Pacific journal of financial studies 2 CoFE Discussion Paper 2 Documents de travail du Centre d'Economie de la Sorbonne 2 Journal of banking & finance 2 Quantitative finance 2 SSE/EFI Working Paper Series in Economics and Finance 2 Asia-Pacific Journal of Operational Research (APJOR) 1 CFR Working Papers 1 CFR working paper 1 CREA Discussion Paper Series 1 Cahier de recherche 1 LSF Research Working Paper Series 1 Post-Print / HAL 1 Research paper series / Swiss Finance Institute 1 Review of Pacific Basin financial markets and policies 1 Review of finance : journal of the European Finance Association 1 Revista Brasileira de Finanças : RBFin 1 Risk management decisions and value under uncertainty 1 SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1 Sveriges Riksbank Working Paper Series 1 Sveriges Riksbank working paper series 1 The North American journal of economics and finance : a journal of financial economics studies 1 The energy journal 1 Working Paper Series / Sveriges Riksbank 1 Working Papers / HAL 1 Working papers on finance 1
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Source
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ECONIS (ZBW) 17 RePEc 16 EconStor 4
Showing 1 - 10 of 37
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Pricing event risk : evidence from concave implied volatility curves
Alexiou, Lykourgos; Goyal, Amit; Kostakis, Alexandros; … - 2021
prior to the earnings announcement day (EAD) reflecting a bimodal risk-neutral distribution for the underlying stock price …
Persistent link: https://www.econbiz.de/10012612931
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Detecting political event risk in the option market
Kostakis, Alexandros; Mu, Liangyi; Otsubo, Yoichi - In: Journal of banking & finance 146 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014248198
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The sum of all fears : forecasting international returns using option-implied risk measures
Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - In: Journal of banking & finance 146 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014248207
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Robust estimation of risk-neutral moments
Ammann, Manuel; Feser, Alexander - 2019
This study provides an in-depth analysis of how to estimate risk-neutral moments robustly. A simulation and an empirical study show that estimating risk- neutral moments presents a trade-off between (1) the bias of estimates caused by a limited strike price domain and (2) the variance of...
Persistent link: https://www.econbiz.de/10011993545
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A new representation of the risk-neutral distribution and its applications
Cui, Zhenyu; Xu, Yuewu - In: Quantitative finance 22 (2022) 5, pp. 817-834
Persistent link: https://www.econbiz.de/10013367863
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Implicit quantiles and expectiles
Bellini, Fabio; Rroji, Edit; Sala, Carlo - In: Risk management decisions and value under uncertainty, (pp. 733-753). 2022
Persistent link: https://www.econbiz.de/10013342040
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Forecasting international index returns using option-implied variables
Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - 2018
Persistent link: https://www.econbiz.de/10011897857
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A unified entropic pricing framework of option : using Cressie-Read family of divergences
Yu, Xisheng - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10013186553
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Nonparametric estimation of risk-neutral distribution via the empirical Esscher transform
Pereira, Manoel; Veiga, Alvaro - In: Revista Brasileira de Finanças : RBFin 15 (2017) 2, pp. 167-195
Persistent link: https://www.econbiz.de/10011896819
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International oil market risk anticipations and the cushing bottleneck : option-implied evidence
Gagnon, Marie-Hélène; Power, Gabriel J. - In: The energy journal 41 (2020) 6, pp. 255-280
Persistent link: https://www.econbiz.de/10012547136
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