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Closed-form transformations from risk-neutral to real-world distributions

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Author Info
Liu, Xiaoquan
Shackleton, Mark B.
Taylor, Stephen J.
Xu, Xinzhong

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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 31 (2007)
Issue (Month): 5 (May)
Pages: 1501-1520
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:eee:jbfina:v:31:y:2007:i:5:p:1501-1520

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  1. Jorge A. Chan-Lau, 2006. "Market-Based Estimation of Default Probabilities and Its Application to Financial Market Surveillance," IMF Working Papers 06/104, International Monetary Fund. [Downloadable!]
  2. Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2009. "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Spanish Economic Review, Springer, vol. 11(2), pages 141-164, June. [Downloadable!] (restricted)
  3. Guenter Franke & James Huang & Richard Stapleton, 2006. "Two-dimensional risk-neutral valuation relationships for the pricing of options," Review of Derivatives Research, Springer, vol. 9(3), pages 213-237, November. [Downloadable!] (restricted)
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