Functional Ross recovery: theoretical results and empirical tests

DOI10.1016/j.jedc.2019.103750zbMath1425.91398OpenAlexW2972905485WikidataQ127238815 ScholiaQ127238815MaRDI QIDQ2338541

Yannick Dillschneider, Raimond H. Maurer

Publication date: 21 November 2019

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2019.103750

zbMATH Keywords

Perron-Frobenius theorystate price densitypricing kernelRoss recovery

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Numerical Ross Recovery for Diffusion Processes Using a PDE Approach

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