A class of risk neutral densities with heavy tails

DOI10.1007/S007800000025zbMath0973.62093OpenAlexW1983912188MaRDI QIDQ5942936

No author found.

Publication date: 16 September 2001

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800000025

zbMATH Keywords

inverse problemsMarkov chain Monte CarloChristmas tree densitiesdiffusion modelrisk neutral densities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Numerical analysis or methods applied to Markov chains (65C40) Diffusion processes (60J60)

Related Items (2)

Multiscale estimation of processes related to the fractional Black-Scholes equation ⋮ Non‐parametric Bayesian Inference for Integrals with respect to an Unknown Finite Measure

This page was built for publication: A class of risk neutral densities with heavy tails