Robust identification of investor beliefs
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Publication:5073243
DOI10.1073/pnas.2019910117zbMath1485.91224OpenAlexW3031409116MaRDI QIDQ5073243
Lars Peter Hansen, Peter G. Hansen, Xiaohong Chen
Publication date: 5 May 2022
Published in: Proceedings of the National Academy of Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1073/pnas.2019910117
Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)
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