Extracting market information from equity options with exponential Lévy processes
type: Item
instance of: scholarly article
title: Extracting market information from equity options with exponential Lévy processes
zbMATH Open document ID: 1402.91774
author: Frank J. Fabozzi
author: Arturo Leccadito
author: Radu Tunaru
publication date: 2018-11-01T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 6970228
zbMATH Keywords: risk-neutral density
zbMATH Keywords: exponential Lévy processes
zbMATH Keywords: pricing kernel
zbMATH Keywords: relative risk-aversion coefficient
MaRDI profile type: Publication
full work available at URL: j.jedc.2013.10.001
OpenAlex ID: W2040578088
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DOI: 10.1016/J.JEDC.2013.10.001
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published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6970228