The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty using Romberg Fourier Inversion
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References listed on IDEAS
- Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
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More about this item
KeywordsOption pricing; stable distributions; Romberg FFT inversion; risk-neutral measure; pricing kernel; FFT; equity premium puzzle.;
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-07-26 (All new papers)
- NEP-CMP-2004-07-26 (Computational Economics)
- NEP-FIN-2004-07-26 (Finance)
- NEP-MIC-2004-07-26 (Microeconomics)
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