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From Characteristic Function to Distribution Function: A Simple Framework for the Theory

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  • Shephard, N.G.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 7 (1991)
Issue (Month): 04 (December)
Pages: 519-529

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Handle: RePEc:cup:etheor:v:7:y:1991:i:04:p:519-529_00

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Cited by:
  1. Bakshi, Gurdip & Madan, Dilip, 2000. "Spanning and derivative-security valuation," Journal of Financial Economics, Elsevier, vol. 55(2), pages 205-238, February.
  2. Carl Chiarella & Jonathan Ziveyi, 2011. "Two Stochastic Volatility Processes - American Option Pricing," Research Paper Series 292, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Zhylyevskyy, Oleksandr, 2012. "Joint Characteristic Function of Stock Log-Price and Squared Volatility in the Bates Model and Its Asset Pricing Applications," Staff General Research Papers 35559, Iowa State University, Department of Economics.
  4. Simon A. Broda & Raymond Kan, 2013. "On Distributions of Ratios," UvA-Econometrics Working Papers 13-10, Universiteit van Amsterdam, Dept. of Econometrics.
  5. Oleksandr Zhylyevskyy, 2010. "A fast Fourier transform technique for pricing American options under stochastic volatility," Review of Derivatives Research, Springer, vol. 13(1), pages 1-24, April.
  6. Xiaolin Luo & Pavel V. Shevchenko, 2009. "Computing Tails of Compound Distributions Using Direct Numerical Integration," Papers 0904.0830, arXiv.org, revised Feb 2010.
  7. Simon A. Broda & Raymond Kan, 2014. "On Distributions of Ratios," Tinbergen Institute Discussion Papers 13-211/III, Tinbergen Institute.
  8. Simi, Wei W. & Wang, Xiaoli, 2013. "Time-changed Lévy jump processes with GARCH model on reverse convertibles," Review of Financial Economics, Elsevier, vol. 22(4), pages 206-212.

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