Risk neutral

Results: 391



#Item
21Optimal investment with price impact Peter Bank joint work with Moritz Voß

Optimal investment with price impact Peter Bank joint work with Moritz Voß

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Source URL: www.ccfz.ch

Language: English - Date: 2014-09-13 03:10:16
22An Anatomy of the Equity Premium∗ Paul Schneider† January 9, 2016 Abstract This paper introduces a decomposition of the forward market return in terms of higher-order realized, and option-implied risk aversion, conne

An Anatomy of the Equity Premium∗ Paul Schneider† January 9, 2016 Abstract This paper introduces a decomposition of the forward market return in terms of higher-order realized, and option-implied risk aversion, conne

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Source URL: www.cb.cityu.edu.hk

Language: English - Date: 2016-07-08 02:31:01
23Implications of Labor Market Frictions for Risk Aversion and Risk Premia Eric T. Swanson University of California, Irvine

Implications of Labor Market Frictions for Risk Aversion and Risk Premia Eric T. Swanson University of California, Irvine

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Source URL: www.ericswanson.us

Language: English - Date: 2014-08-14 14:34:23
24Estimation of Risk Neutral Measures using the Generalized Two-Factor Log-Stable Option Pricing Model J. Huston McCulloch and Seung Hwan Lee† March 26, 2008 Abstract

Estimation of Risk Neutral Measures using the Generalized Two-Factor Log-Stable Option Pricing Model J. Huston McCulloch and Seung Hwan Lee† March 26, 2008 Abstract

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Source URL: www.econ.ohio-state.edu

Language: English - Date: 2012-01-12 12:02:17
25Abstract We study a principal-agent model in which the (effort-dependent) realization of output levels is ambiguous, and the agent is ambiguity averse (while the principal is ambiguity neutral). We show that introducing

Abstract We study a principal-agent model in which the (effort-dependent) realization of output levels is ambiguous, and the agent is ambiguity averse (while the principal is ambiguity neutral). We show that introducing

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Source URL: www.wiwi.uni-bonn.de

Language: English - Date: 2014-11-18 06:35:26
26Market Price of Risk Specifications for Affine Models: Theory and Evidence∗ Patrick Cheridito† Damir Filipovi´c‡

Market Price of Risk Specifications for Affine Models: Theory and Evidence∗ Patrick Cheridito† Damir Filipovi´c‡

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Source URL: www.princeton.edu

Language: English - Date: 2005-09-15 11:12:23
27MATHEMATISCHES FORSCHUNGSINSTITUT OBEFRWOLFACH T a g u n g s b e r i c h t

MATHEMATISCHES FORSCHUNGSINSTITUT OBEFRWOLFACH T a g u n g s b e r i c h t

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Source URL: fam.tuwien.ac.at

Language: English - Date: 2003-06-14 17:14:35
28Ane Term Structure Modeling and Macroeconomic Risks at the Zero Lower Bound Guillaume Roussellet∗

Ane Term Structure Modeling and Macroeconomic Risks at the Zero Lower Bound Guillaume Roussellet∗

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Source URL: www.cb.cityu.edu.hk

Language: English - Date: 2016-07-08 02:30:00
29Option Pricing on Cash Mergers Victor H. Martinez, Ioanid Ro¸su and C. Alan Bester∗ September 30, 2009 Abstract When a cash merger is announced but not completed, there are two main sources

Option Pricing on Cash Mergers Victor H. Martinez, Ioanid Ro¸su and C. Alan Bester∗ September 30, 2009 Abstract When a cash merger is announced but not completed, there are two main sources

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Source URL: www.hec.unil.ch

Language: English - Date: 2010-01-22 04:26:14
30ANALYSIS technical How to value a coco Converting default risk into conversion risk provides a method for valuing contingent convertibles, according to Patrick Cheridito and Zhikai Xu

ANALYSIS technical How to value a coco Converting default risk into conversion risk provides a method for valuing contingent convertibles, according to Patrick Cheridito and Zhikai Xu

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Source URL: www.princeton.edu

Language: English - Date: 2014-10-21 18:01:47