Regulatory-Compliant Derivatives Pricing is Not Risk-Neutral
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References listed on IDEAS
- Hiroaki Kaido & Halbert White, 2009. "Inference on Risk-Neutral Measures for Incomplete Markets," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 7(3), pages 199-246, Summer.
- Tuckman, Bruce & Vila, Jean-Luc, 1992. " Arbitrage with Holding Costs: A Utility-Based Approach," Journal of Finance, American Finance Association, vol. 47(4), pages 1283-1302, September.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-14 (All new papers)
- NEP-BAN-2013-11-14 (Banking)
- NEP-FMK-2013-11-14 (Financial Markets)
- NEP-RMG-2013-11-14 (Risk Management)
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