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Ross recovery with recurrent and transient processes

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  • Hyungbin Park

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  • Hyungbin Park, 2016. "Ross recovery with recurrent and transient processes," Quantitative Finance, Taylor & Francis Journals, vol. 16(5), pages 667-676, May.
    • Handle: RePEc:taf:quantf:v:16:y:2016:i:5:p:667-676
    DOI: 10.1080/14697688.2015.1092572
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    References listed on IDEAS

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    1. Dmitry Davydov & Vadim Linetsky, 2003. "Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach," Operations Research, INFORMS, vol. 51(2), pages 185-209, April.
    2. Steve Ross, 2015. "The Recovery Theorem," Journal of Finance, American Finance Association, vol. 70(2), pages 615-648, April.
    3. Breeden, Douglas T., 1979. "An intertemporal asset pricing model with stochastic consumption and investment opportunities," Journal of Financial Economics, Elsevier, vol. 7(3), pages 265-296, September.
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    Cited by:

    1. Hyungbin Park, 2018. "A representative agent model based on risk-neutral prices," Papers 1801.09315, arXiv.org.
    2. Shinmi Ahn & Hyungbin Park, 2020. "Examining the Feasibility of the Sturm–Liouville Theory for Ross Recovery," Mathematics, MDPI, vol. 8(4), pages 1-16, April.

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