Ross recovery with recurrent and transient processes

DOI10.1080/14697688.2015.1092572zbMath1468.91152arXiv1410.2282OpenAlexW1950505225MaRDI QIDQ5001163

Hyungbin Park

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.2282

Mathematics Subject Classification ID

Financial markets (91G15)

Related Items (3)

Forecasting market index volatility using Ross-recovered distributions ⋮ Numerical Ross Recovery for Diffusion Processes Using a PDE Approach ⋮ Functional Ross recovery: theoretical results and empirical tests

Cites Work

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• Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing
• Long-Term Risk: An Operator Approach
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• Recovery with Unbounded Diffusion Processes*
• Long-Term Risk: A Martingale Approach
• Stochastic Calculus
• An intertemporal asset pricing model with stochastic consumption and investment opportunities

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