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Downside risk, options, and investment time horizon

Zimmermann, Heinz - 1993

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State-Preference-Theorie und Asset Pricing : eine Einführung; mit 3 Tab.

Zimmermann, Heinz - 1998

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The second partial derivative of option price with respect to the strike : a historical reminiscence

Zimmermann, Heinz - In: The journal of derivatives : the official publication … 25 (2018) 3, pp. 81-87

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Pricing derivative credit risk

Ammann, Manuel - 1998

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Pricing derivative credit risk

Ammann, Manuel - 1998

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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