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  • Search: subject_exact:"Risk-neutral model"
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Year of publication
Subjects
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Risikoneutralität 82 Risk neutrality 82 Theorie 48 Theory 48 Optionspreistheorie 23 Risikoaversion 23 Risk aversion 23 Option pricing theory 22 Statistical distribution 13 Statistische Verteilung 13 Volatility 9 Volatilität 9 Agency theory 7 Prinzipal-Agent-Theorie 7 Deutschland 6 Germany 6 USA 6 United States 6 Estimation 5 Rationale Erwartung 5 Schätzung 5 Aktienmarkt 4 Capital income 4 Derivat 4 Derivative 4 Erwartungsnutzen 4 Expected utility 4 Investition 4 Investment 4 Kapitaleinkommen 4 Portfolio selection 4 Portfolio-Management 4 Rational expectations 4 Real options analysis 4 Realoptionsansatz 4 Steuertheorie 4 Stock market 4 Theory of taxation 4 Yield curve 4 Zinsstruktur 4
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Online availability
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Free 24 Undetermined 2
Type of publication
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Article 48 Book / Working Paper 34
Type of publication (narrower categories)
All
Article in journal 44 Aufsatz in Zeitschriften 44 Arbeitspapier 30 Working Paper 30 Graue Literatur 29 Non-commercial literature 29 Article in book 4 Aufsatz im Buch 4 Dissertation 4 Hochschulschrift 4 Thesis 4 Collection of articles of several authors 1 Sammelwerk 1
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Language
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English 72 German 8 French 2
Persons
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Niemann, Rainer 4 Krätschmer, Volker 3 Barbachan, José Santiago Fajardo 2 Billot, Antoine B. 2 Bi̇rbi̇l, Ş. İlker 2 Bødskov Andersen, Allan 2 Chateauneuf, Alain 2 De Wit, Jan 2 Farias, Aquiles Rocha de 2 Frenk, Johannes G. 2 Giacomini, Enzo 2 Gilboa, Itzhak 2 Glatzer, Ernst 2 Greenwood-Nimmo, Matthew 2 Härdle, Wolfgang 2 Hördahl, Peter 2 Kaynar, Bahar 2 Kirstein, Roland 2 Muendler, Marc-Andreas 2 Ornelas, José Renato Haas 2 Rafferty, Barry 2 Rockinger, Michael 2 Scheicher, Martin 2 Vestin, David 2 Viet Hoang Nguyen 2 Wagener, Tom 2 Abadir, Karim M. 1 Abadir, Karim Maher 1 Affolter, Ines 1 Ahmed, Shabbir 1 Arismendi Zambrano, Juan Carlos 1 Bakshi, Gurdip S. 1 Bakstein, David 1 Bali, Turan G. 1 Barkoulas, John T. 1 Baum, Christopher F. 1 Bellando, Raphaëlle 1 Bennouri, Moez 1 Bental, Benjamin 1 Bianchi, Michele Leonardo 1
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Institutions
All
Center for the Study of Law and Economics <Saarbrücken> 1 Danmarks Nationalbank 1 Foerder Institute for Economic Research <Tēl-Āvîv> 1 Nationalekonomiska Institutionen <Göteborg> 1
Published in...
All
Economic theory 3 Managerial and decision economics : MDE ; the international journal of research and progress in management economics 3 Working paper series 3 Working papers 3 Discussion papers in economics 2 Econometric theory 2 Economics letters 2 Journal of business economics : JBE 2 Journal of economic theory 2 SFB 649 discussion paper 2 Working paper 2 2006 Business & Economics Society International Conference ; Vol. 1 1 Advances in statistical analysis : AStA : a journal of the German Statistical Society 1 Applied mathematical finance 1 CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute 1 Contributions to economics 1 Current topics in quantitative finance : with 23 tables 1 Czech economic review : acta Universitatis Carolinae oeconomica 1 Danmarks Nationalbank working papers 1 Decisions in economics and finance : DEF ; a journal of applied mathematics 1 Discussion paper 1 Discussion paper / Centre for Economic Policy Research 1 Discussion papers / Department of Economics, University of California San Diego 1 E-Finanse : finansowy kwartalnik internetowy 1 ERIM report series research in management 1 Econometric Institute research papers 1 Economia aplicada : EA 1 Economic & financial modelling : a journal of the European Economics and Financial Centre 1 Economica 1 European journal of operational research : EJOR 1 Faculty research papers / The Fuqua School of Business, Duke University 1 Finance : revue de l'Association Française de Finance 1 Finance research letters 1 Fisher College of Business working paper series 1 Global finance journal 1 International economic journal 1 International journal of production economics 1 International journal of revenue management : IJRM 1 International journal of theoretical and applied finance 1 International review of financial analysis 1
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Sources
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ECONIS (ZBW) 82
Showing 1 - 50 of 82
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Risk and return spillovers among the G10 currencies
Greenwood-Nimmo, Matthew; Viet Hoang Nguyen; Rafferty, Barry - 2016
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Moral hazard and endogenous monitoring
Setty, Ofer - 2015
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Estimation of risk neutral measure for Polish stock market
Kliber, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 10 (2014) 2, pp. 28-37
In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal...
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Risk neutral and risk averse approaches to multistage renewable investment planning under uncertainty
Bruno, Sergio; Ahmed, Shabbir; Shapiro, Alexander; … - In: European journal of operational research : EJOR 250 (2016) 3, pp. 979-989
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Optimal robust bilateral trade : risk neutrality
Čopič, Jernej; Ponsatí, Clara - In: Journal of economic theory 163 (2016), pp. 276-287
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Risk neutrality regions
Kannai, Yakar; Selden, Larry; Kang, Minwook; Wei, Xiao - In: Journal of mathematical economics 62 (2016), pp. 75-89
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A moment-based analytic approximation of the risk-neutral density of American options
Arismendi Zambrano, Juan Carlos; Prokopczuk, Marcel - In: Applied mathematical finance 23 (2016) 5/6, pp. 409-444
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Risk and return spillovers among the G10 currencies
Greenwood-Nimmo, Matthew; Viet Hoang Nguyen; Rafferty, Barry - In: Journal of financial markets 31 (2016), pp. 43-62
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Estimating relative risk aversion, risk-neutral and Real-world densities using Brazilian Real currency options
Ornelas, José Renato Haas; Barbachan, José Santiago … - 2012
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Does aggregate riskiness predict future economic downturns?
Bali, Turan G.; Cakici, Nusret; Chabi-Yo, Fousseni - 2012 - This draft: March 2012
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Risikoteilung durch Crowdfunding-Vorverkäufe
Greggers, Timo - 2015
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Informed-principal problem with moral hazard, risk neutrality, and no limited liability
Wagner, Christoph; Mylovanov, Tymofiy; Tröger, Thomas - In: Journal of economic theory 159 (2015), pp. 280-289
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A loop diagram pedagogy : seeing the unseen in the forward market efficiency hypothesis
Jitmaneeroj, Boonlert - In: Managerial finance 40 (2014) 2, pp. 189-199
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Risk-neutral economy and zero price of risk
Vasicek, Oldrich Alfons - In: Mathematics and financial economics 8 (2014) 3, pp. 229-239
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Eliciting subjective probabilities with binary lotteries
Harrison, Glenn W.; Martínez-Correa, Jimmy; Swarthout, … - In: Journal of economic behavior & organization : JEBO 101 (2014), pp. 128-140
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The irrelevance of control rights in agency models under risk neutrality
Wang, Susheng - In: Managerial and decision economics : MDE ; the … 35 (2014) 5, pp. 337-349
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On the descriptive value of loss aversion in decisions under risk
Ert, Eyal; Erev, Ido - 2010
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Parametric estimation of risk neutral density functions
Grith, Maria; Krätschmer, Volker - 2010
This chapter deals with the estimation of risk neutral distributions for pricing index options resulting from the hypothesis of the risk neutral valuation principle. After justifying this hypothesis, we shall focus on parametric estimation methods for the risk neutral density functions...
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Solvency regulation and contract pricing in the insurance industry
Affolter, Ines - 2009
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Risk-neutral monopolists are variance-averse
Kirstein, Roland - 2009
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Risk-sensitive and mean variance optimality in Markov decision processes
Sladký, Karel - In: Czech economic review : acta Universitatis Carolinae … 7 (2013) 3, pp. 146-161
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Dynamic semiparametric factor models in risk neutral density estimation
Giacomini, Enzo (contributor); Härdle, Wolfgang (contributor) - 2008
Dimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but also in the dynamic behaviour of the lower dimensional objects. The most...
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Locally risk-neutral valuation of options in GARCH models based on variance-gamma process
Kao, Lie-jane - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-21
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Credibility and monitoring : outsourcing as a commitment device
Bental, Benjamin; Deffains, Bruno; Demougin, Dominique - In: Journal of economics & management strategy : JEMS 21 (2012) 1, pp. 31-52
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Estimating risk aversion, risk-neutral and real-world densities using Brazilian real currency options
Barbachan, José Santiago Fajardo; Ornelas, José … - In: Economia aplicada : EA 16 (2012) 4, pp. 567-577
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Application of a general risk management model to portfolio optimization problems with elliptical distributed returns for risk neutral and risk averse decision makers
Kaynar, Bahar (contributor);  … - 2007
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Application of a general risk management model to portfolio optimization problems with elliptical distributed returns for risk neutral and risk averse decision makers
Kaynar, Bahar (contributor);  … - 2007
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Education, risk preference and wages
Brown, Sarah (contributor); Taylor, Karl (contributor) - 2006
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Exploring the CDS-bond basis
De Wit, Jan - 2006
Markets for credit default swaps (CDS) and bonds of the same reference entity and maturity are bound by no-arbitrage conditions. Indeed, using a large data set we show that CDS premia and par asset swap spreads are mostly cointegrated. Nonetheless, the average CDS-bond basis (i.e. the difference...
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Currency mismatching
Schnabel, Jasques A. - In: Managerial and decision economics : MDE ; the … 32 (2011) 7, pp. 487-492
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Risk-neutral models for emission allowance prices and option valuation
Carmona, René; Hinz, Juri - In: Management science : journal of the Institute for … 57 (2011) 8, pp. 1453-1468
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Risk neutral investors do not acquire information
Muendler, Marc-Andreas (contributor) - 2005
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Bayesianism without priors, acts without consequences
Nau, Robert F. (contributor) - 2005
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The loss-averse newsvendor game
Wang, Charles X. - In: International journal of production economics 124 (2010) 2, pp. 448-452
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A note on two-part pricing under uncertainty
Blair, Roger D.; DePasquale, Christina - In: Managerial and decision economics : MDE ; the … 31 (2010) 8, pp. 545-547
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Volatility of the stochastic discount factor, and the distinction between risk-neutral and objective probability measures
Bakshi, Gurdip S. (contributor); Chen, Zhiwu (contributor);  … - 2004 - [Elektronische Ressource]
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Informationsgewinnung aus Optionspreisen : eine empirische Analyse des US-Dollar/Euro-Wechselkurses
Locht, Nicole van de - 2009 - 1. Aufl.
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The normal inverse gaussian distribution and the pricing of derivatives
Eriksson, Anders; Ghysels, Eric; Wang, Fangfang - In: The journal of derivatives : the official publication … 16 (2008/09) 3, pp. 23-37
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Optimal strategy models to maximise revenues in online auctions with 'buy it now'
Zhou, Jing; Lv, Hao; Yang, Hui - In: International journal of revenue management : IJRM 3 (2009) 4, pp. 393-407
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Dynamic semiparametric factor models in risk neutral density estimation
Giacomini, Enzo; Härdle, Wolfgang; Krätschmer, Volker - In: Advances in statistical analysis : AStA : a journal of … 93 (2009) 4, pp. 387-402
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Modelling the implied probability of stock market movements
Glatzer, Ernst; Scheicher, Martin - 2003
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Interpreting implied risk-neutral densities : the role of risk premia
Hördahl, Peter; Vestin, David - 2003
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Extracting risk neutral probability densities by fitting implied volatility smiles : some methodological points and an application to the 3M Euribor futures option prices
Bødskov Andersen, Allan (contributor);  … - 2002 - [Elektronische Ressource]
Following Shimko (1993), a large amount of research has evolved around the problem of extracting risk neutral densities from options prices by interpolating the Black-Scholes implied volatility smile. Some of the methods recently proposed use variants of the cubic spline. These methods have the...
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Extracting risk neutral probability densities by fitting implied volatility smiles : some methodological points and an application to the 3m Euribor futures option prices
Bødskov Andersen, Allan; Wagener, Tom - 2002
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A risk-neutral parametric liquidity model for derivatives
Bakstein, David; Howison, Sam - 2002
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Sicherheitsäquivalente sind nicht überflüssig! : Anmerkungen zum Beitrag "Sicherheitsäquivalente, Wertadditivität und Risikoneutralität" von Reichling et al. (2006)
Häckel, Björn; Holtz, Christian; Buhl, Hans Ulrich - In: Journal of business economics : JBE 78 (2008) 9, pp. 951-959
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Repeated moral hazard, limited liability, and renegotiation
Ohlendorf, Susanne; Schmitz, Patrick W. - 2008
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A new tempered stable distribution and its application to finance
Kim, Young Shin (contributor);  … - In: Risk assessment : decisions in banking and finance, (pp. 77-109). 2008
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Empirical risk aversion functions-estimates and assessment of their reliability
Kang, Byung Jin; Kim, Tong Suk - In: International review of financial analysis 17 (2008) 5, pp. 1123-1138
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Risk-neutral investors do not acquire information
Muendler, Marc-Andreas - In: Finance research letters 5 (2008) 3, pp. 156-161
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