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The Pricing of Options and Corporate Liabilities

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  1. The Alluring Potential of the Unknown Known
    by Miraj Patel in Miraj Patel on 2012-06-19 11:13:50

Citations

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Cited by:

  1. Ben Abdallah, Skander & Lasserre, Pierre, 2016. "Asset retirement with infinitely repeated alternative replacements: Harvest age and species choice in forestry," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 144-164.
  2. Hussain, Saiful Izzuan & Li, Steven, 2015. "Modeling the distribution of extreme returns in the Chinese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 263-276.
  3. Kirill Ilinski, 1999. "How to account for virtual arbitrage in the standard derivative pricing," Papers cond-mat/9902047, arXiv.org.
  4. Zhao, Yingxue & Yang, Liu & Cheng, T.C.E. & Ma, Lijun & Shao, Xinjian, 2013. "A value-based approach to option pricing: The case of supply chain options," International Journal of Production Economics, Elsevier, vol. 143(1), pages 171-177.
  5. Tang, Cheng Yong & Chen, Song Xi, 2009. "Parameter estimation and bias correction for diffusion processes," Journal of Econometrics, Elsevier, vol. 149(1), pages 65-81, April.
  6. Kathrin Glau & Mirco Mahlstedt & Christian Potz, 2018. "A new approach for American option pricing: The Dynamic Chebyshev method," Papers 1806.05579, arXiv.org.
  7. repec:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500177 is not listed on IDEAS
  8. Siddiqi, Hammad, 2014. "Analogy Making and the Structure of Implied Volatility Skew," MPRA Paper 60921, University Library of Munich, Germany.
  9. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 1999. "Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think," Center for Financial Institutions Working Papers 00-28, Wharton School Center for Financial Institutions, University of Pennsylvania.
  10. Inder K. Khurana & Changjiang Wang, 2015. "Debt Maturity Structure and Accounting Conservatism," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 42(1-2), pages 167-203, January.
  11. Audrino, Francesco & Fengler, Matthias R., 2015. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 46-63.
  12. Kau, James B. & Keenan, Donald C., 1999. "Patterns of rational default," Regional Science and Urban Economics, Elsevier, vol. 29(6), pages 765-785, November.
  13. Hartmann, Marcus & Hassan, Ali, 2006. "Application of real options analysis for pharmaceutical R&D project valuation--Empirical results from a survey," Research Policy, Elsevier, vol. 35(3), pages 343-354, April.
  14. Carol Alexandra & Leonardo M. Nogueira, 2005. "Optimal Hedging and Scale Inavriance: A Taxonomy of Option Pricing Models," ICMA Centre Discussion Papers in Finance icma-dp2005-10, Henley Business School, Reading University, revised Nov 2005.
  15. Ali Dardour, 2008. "Les déterminants de la rémunération des dirigeants des sociétés cotées en France," Post-Print halshs-00522506, HAL.
  16. repec:bla:ecinqu:v:55:y:2017:i:1:p:425-433 is not listed on IDEAS
  17. Nielsen, Morten Ørregaard & Frederiksen, Per, 2008. "Finite sample accuracy and choice of sampling frequency in integrated volatility estimation," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 265-286, March.
  18. repec:spr:annopr:v:247:y:2016:i:2:d:10.1007_s10479-016-2231-3 is not listed on IDEAS
  19. Norden, Lars, 2003. "Asymmetric option price distribution and bid-ask quotes: consequences for implied volatility smiles," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 423-441, December.
  20. Göncü, Ahmet & Karahan, Mehmet Oğuz & Kuzubaş, Tolga Umut, 2016. "A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 69-83.
  21. Farid AitSahlia & Manisha Goswami & Suchandan Guha, 2010. "American option pricing under stochastic volatility: an empirical evaluation," Computational Management Science, Springer, vol. 7(2), pages 189-206, April.
  22. He, Ling-Yun & Qian, Wen-Bin, 2012. "A Monte Carlo simulation to the performance of the R/S and V/S methods—Statistical revisit and real world application," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(14), pages 3770-3782.
  23. Karmann, Alexander & Maltritz, Dominik, 2003. "Sovereign risk in a structural approach: Evaluating sovereign ability-to-pay and probability of default," Dresden Discussion Paper Series in Economics 07/03, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
  24. Jun, Doobae & Ku, Hyejin, 2015. "Static hedging of chained-type barrier options," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 317-327.
  25. Gordian Rättich & Kim Clark & Evi Hartmann, 2011. "Performance measurement and antecedents of early internationalizing firms: A systematic assessment," Working Papers 0031, College of Business, University of Texas at San Antonio.
  26. Paul Ormerod, 2010. "La crisis actual y la culpabilidad de la teoría macroeconómica," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, vol. 12(22), pages 111-128, January-J.
  27. Romaniuk, Katarzyna & Vranceanu, Radu, 2008. "Asset Prices and Assymetries in the Fed's Interest Rate Rule : a Financial Approach," ESSEC Working Papers DR 08006, ESSEC Research Center, ESSEC Business School.
  28. Saqib Aziz & Michael Dowling & Jean-Jacques Lilti, 2016. "Bank Acquisitiveness and Financial Crisis Vulnerability," Post-Print halshs-01360952, HAL.
  29. Liuren Wu & Frank X. Zhang, 2005. "A no-arbitrage analysis of economic determinants of the credit spread term structure," Finance and Economics Discussion Series 2005-59, Board of Governors of the Federal Reserve System (U.S.).
  30. John Geanakoplos, 1989. "An Introduction to General Equilibrium with Incomplete Asset Markets," Cowles Foundation Discussion Papers 919, Cowles Foundation for Research in Economics, Yale University.
  31. repec:sbe:breart:v:21:y:2001:i:2:a:2755 is not listed on IDEAS
  32. Bhanot, Karan & Mansi, Sattar A. & Wald, John K., 2010. "Takeover risk and the correlation between stocks and bonds," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 381-393, June.
  33. Kristensen, Dennis & Mele, Antonio, 2011. "Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models," Journal of Financial Economics, Elsevier, vol. 102(2), pages 390-415.
  34. Scott P. Mason, 1986. "Valuing Financial Flexibility," NBER Chapters,in: Financing Corporate Capital Formation, pages 91-106 National Bureau of Economic Research, Inc.
  35. Kwamie Dunbar, . "An Empirical Review of United States Corporate Default Swap Valuation: The Implications of Functional Forms," Fordham Economics Dissertations, Fordham University, Department of Economics, number 2005.2.
  36. THOMASSEN, Liesbeth & VAN CASTEREN, Jan & VAN WOUWE, Martine, 2002. "Decomposition of the n-fold compound option," Working Papers 2002040, University of Antwerp, Faculty of Applied Economics.
  37. repec:eee:jrpoli:v:52:y:2017:i:c:p:7-18 is not listed on IDEAS
  38. Bossaerts, P. & Ghysels, E. & Gourieroux, C., 1996. "Arbitrage-Based Pricing when Volatility is Stochastic," Cahiers de recherche 9615, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  39. Álvarez Echeverría Francisco & López Sarabia Pablo & Venegas Martínez Francisco, 2012. "Valuación financiera de proyectos de inversión en nuevas tecnologías con opciones reales," Contaduría y Administración, Accounting and Management, vol. 57(3), pages 115-145, julio-sep.
  40. Scheinkman, Jose A. & Zariphopoulou, Thaleia, 2001. "Optimal Environmental Management in the Presence of Irreversibilities," Journal of Economic Theory, Elsevier, vol. 96(1-2), pages 180-207, January.
  41. Vähämaa, Sami & Krylova, Elizaveta & Nikkinen, Jussi, 2005. "Cross-dynamics of volatility term structures implied by foreign exchange options," Working Paper Series 530, European Central Bank.
  42. Hayette Gatfaoui, 2003. "How Does Systematic Risk Impact Stocks ? A Study On the French Financial Market," Risk and Insurance 0308004, EconWPA.
  43. Teemu Pennanen, 2014. "Optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 18(4), pages 733-754, October.
  44. Maltritz, Dominik, 2010. "A compound option approach to model the interrelation between banking crises and country defaults: The case of Hungary 2008," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 3025-3036, December.
  45. Dalla Valle, Luciana & De Giuli, Maria Elena & Tarantola, Claudia & Manelli, Claudio, 2016. "Default probability estimation via pair copula constructions," European Journal of Operational Research, Elsevier, vol. 249(1), pages 298-311.
  46. Dybvig, Philip H. & Gong, Ning & Schwartz, Rachel, 2000. "Bias of Damage Awards and Free Options in Securities Litigation," Journal of Financial Intermediation, Elsevier, vol. 9(2), pages 149-168, April.
  47. Hitoshi Imai & Naoyuki Ishimura & Ikumi Mottate & Masaaki Nakamura, 2006. "On the Hoggard–Whalley–Wilmott Equation for the Pricing of Options with Transaction Costs," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(4), pages 315-326, December.
  48. Bernard Dumas, 1989. "Perishable Investment and Hysteresis in Capital Formation," NBER Working Papers 2930, National Bureau of Economic Research, Inc.
  49. Cuny, Charles J. & Jorion, Philippe, 1995. "Valuing executive stock options with endogenous departure," Journal of Accounting and Economics, Elsevier, vol. 20(2), pages 193-205, September.
  50. Zhao, Zhibiao & Wu, Wei Biao, 2009. "Nonparametric inference of discretely sampled stable Lévy processes," Journal of Econometrics, Elsevier, vol. 153(1), pages 83-92, November.
  51. Kristopher S. Gerardi & Adam Hale Shapiro & Paul S. Willen, 2007. "Subprime outcomes: risky mortgages, homeownership experiences, and foreclosures," Working Papers 07-15, Federal Reserve Bank of Boston.
  52. R. Kalantari & S. Shahmorad & D. Ahmadian, 2016. "The Stability Analysis of Predictor–Corrector Method in Solving American Option Pricing Model," Computational Economics, Springer;Society for Computational Economics, vol. 47(2), pages 255-274, February.
  53. Ralf Remer & Reinhard Mahnke, 2004. "Application of the heston and hull-white models to german dax data," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 685-693.
  54. Hoechle, Daniel & Schmid, Markus & Walter, Ingo & Yermack, David, 2012. "How much of the diversification discount can be explained by poor corporate governance?," Journal of Financial Economics, Elsevier, vol. 103(1), pages 41-60.
  55. Gonçalo Faria & João Correia-da-Silva, 2014. "A closed-form solution for options with ambiguity about stochastic volatility," Review of Derivatives Research, Springer, vol. 17(2), pages 125-159, July.
  56. Vidal Nunes, João Pedro & Ruas, João Pedro & Dias, José Carlos, 2015. "Pricing and static hedging of American-style knock-in options on defaultable stocks," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 343-360.
  57. Alain Monfort & Jean-Paul Renne, 2013. "Default, Liquidity, and Crises: an Econometric Framework," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 11(2), pages 221-262, March.
  58. Andreou, Panayiotis C. & Charalambous, Chris & Martzoukos, Spiros H., 2010. "Generalized parameter functions for option pricing," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 633-646, March.
  59. Antoine Jacquier & Patrick Roome, 2015. "Black-Scholes in a CEV random environment," Papers 1503.08082, arXiv.org, revised Nov 2017.
  60. Bystrom, Hans & Kwon, Oh Kang, 2007. "A simple continuous measure of credit risk," International Review of Financial Analysis, Elsevier, vol. 16(5), pages 508-523.
  61. Nuno Silva, 2010. "Inter-Sector Relations in the Portuguese Economy: an Application of Contingent," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  62. Jan Ericsson & Joel Reneby, 1998. "A framework for valuing corporate securities," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(3-4), pages 143-163.
  63. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2010. "Predictable dynamics in implied volatility surfaces from OTC currency options," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1175-1188, June.
  64. repec:gam:jsusta:v:9:y:2017:i:10:p:1781-:d:113882 is not listed on IDEAS
  65. Phelippe-Guinvarc'h, Martial V. & Cordier, Jean E., 2006. "A private management strategy for the crop yield insurer: A theoretical approach and tests," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 35-46, August.
  66. Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio, 2016. "Volatility risk premia and exchange rate predictability," Journal of Financial Economics, Elsevier, vol. 120(1), pages 21-40.
  67. Jo~ao P. da Cruz & Pedro G. Lind, 2012. "Heavy-tails in economic data: fundamental assumptions, modelling and analysis," Papers 1202.0142, arXiv.org.
  68. David Mauler & James McDonald, 2015. "Option Pricing and Distribution Characteristics," Computational Economics, Springer;Society for Computational Economics, vol. 45(4), pages 579-595, April.
  69. Clement, E. & Gourieroux, C. & Monfort, A., 2000. "Econometric specification of the risk neutral valuation model," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 117-143.
  70. Bertram During & Michel Fourni'e, 2014. "High-order compact finite difference scheme for option pricing in stochastic volatility models," Papers 1404.5140, arXiv.org.
  71. Robert F. Engle & Joshua Rosenberg, 1966. "Testing the Volatility Term Structure Using Option Hedging Criteria," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-24, New York University, Leonard N. Stern School of Business-.
  72. Lin, Shao-Bin & Chen, Chun-Da, 2013. "Applying the Model Order Reduction method to a European option pricing model," Economic Modelling, Elsevier, vol. 33(C), pages 533-536.
  73. Cremers, Martijn & Driessen, Joost & Maenhout, Pascal & Weinbaum, David, 2008. "Individual stock-option prices and credit spreads," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2706-2715, December.
  74. Jian Zhou, 2013. "Extreme risk spillover among international REIT markets," Applied Financial Economics, Taylor & Francis Journals, vol. 23(2), pages 91-103, January.
  75. Kyng, T. & Konstandatos, O. & Bienek, T., 2016. "Valuation of employee stock options using the exercise multiple approach and life tables," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 17-26.
  76. Ram Bhar & Carl Chiarella, 2000. "Infering Forward Looking Financial Market Risk Premia from Derivatives Prices," Research Paper Series 42, Quantitative Finance Research Centre, University of Technology, Sydney.
  77. Steinar Ekern & Svein-Arne Persson, 1996. "Exotic Unit-Linked Life Insurance Contracts," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 21(1), pages 35-63, June.
  78. Fulli-Lemaire, Nicolas & Palidda, Ernesto, 2012. "Swapping Headline for Core Inflation: An Asset Liability Management Approach," MPRA Paper 42853, University Library of Munich, Germany, revised 16 Nov 2012.
  79. Wayne, James J., 2013. "Physics Laws of Social Science," MPRA Paper 47811, University Library of Munich, Germany.
  80. Melnikov, Alexander & Romaniuk, Yulia, 2006. "Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts," Insurance: Mathematics and Economics, Elsevier, vol. 39(3), pages 310-329, December.
  81. Jeremy Berkowitz, 1999. "Evaluating the forecasts of risk models," Finance and Economics Discussion Series 1999-11, Board of Governors of the Federal Reserve System (U.S.).
  82. Chen, Peimin & Wu, Chunchi, 2014. "Default prediction with dynamic sectoral and macroeconomic frailties," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 211-226.
  83. Benjamin Jourdain & Antonino Zanette, 2008. "A moments and strike matching binomial algorithm for pricing American Put options," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 31(1), pages 33-49, May.
  84. repec:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500078 is not listed on IDEAS
  85. Shinhua Liu, 2016. "Are SPDR Options Good for the Underlying Stocks?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(04), pages 1-27, December.
  86. Boyarchenko, Svetlana & Levendorskii[caron], Sergei, 2007. "Optimal stopping made easy," Journal of Mathematical Economics, Elsevier, vol. 43(2), pages 201-217, February.
  87. van Landschoot, A., 2003. "The Term Structure of Credit Spreads on Euro Corporate Bonds," Discussion Paper 2003-046, Tilburg University, Center for Economic Research.
  88. Nystrom, Kaj & Skoglund, Jimmy, 2006. "A credit risk model for large dimensional portfolios with application to economic capital," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2163-2197, August.
  89. Figa-Talamanca, Gianna & Guerra, Maria Letizia, 2006. "Fitting prices with a complete model," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 247-258, January.
  90. Veld, C.H., 1989. "The use of the implied standard deviation as a predictor of future stock price variability : A review of empirical tests," Research Memorandum FEW 410, Tilburg University, School of Economics and Management.
  91. Adam Wu, 2017. "Systematic Noise: Micro-movements in Equity Options Markets," Papers 1708.06855, arXiv.org.
  92. Nivorozhkin, Eugene, 2005. "Market discipline of subordinated debt in banking: The case of costly bankruptcy," European Journal of Operational Research, Elsevier, vol. 161(2), pages 364-376, March.
  93. Gradojevic Nikola, 2016. "Multi-criteria classification for pricing European options," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(2), pages 123-139, April.
  94. Caporin, Massimiliano & Preś, Juliusz & Torro, Hipolit, 2012. "Model based Monte Carlo pricing of energy and temperature Quanto options," Energy Economics, Elsevier, vol. 34(5), pages 1700-1712.
  95. Scholz, Julia, 2009. "Collateralized Debt Obligations: Anreizprobleme im Rahmen des Managements von CDOs," Discussion Papers in Business Administration 11002, University of Munich, Munich School of Management.
  96. Bowman, David & Faust, Jon, 1997. "Options, Sunspots, and the Creation of Uncertainty," Journal of Political Economy, University of Chicago Press, vol. 105(5), pages 957-975, October.
  97. Nikita Ratanov, 2008. "Option Pricing Model Based on a Markov-modulated Diffusion with Jumps," Papers 0812.0761, arXiv.org.
  98. Pierdzioch, Christian, 2000. "Noise Traders? Trigger Rates, FX Options, and Smiles," Kiel Working Papers 970, Kiel Institute for the World Economy (IfW).
  99. Nadia Saghi-Zedek & Amine Tarazi, 2015. "Droits de contrôle versus droits pécuniaires, crise financière et vulnérabilité des banques européennes," Revue économique, Presses de Sciences-Po, vol. 66(3), pages 527-535.
  100. Cajueiro, Daniel O. & Tabak, Benjamin M., 2007. "Long-range dependence and multifractality in the term structure of LIBOR interest rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 373(C), pages 603-614.
  101. Asbjørn T. Hansen & Peter Løchte Jørgensen, 2000. "Analytical Valuation of American-Style Asian Options," Management Science, INFORMS, vol. 46(8), pages 1116-1136, August.
  102. Bu, Ruijun & Jawadi, Fredj & Li, Yuyi, 2017. "An empirical comparison of transformed diffusion models for VIX and VIX futures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 116-127.
  103. Carr, Peter & Wu, Liuren, 2007. "Stochastic skew in currency options," Journal of Financial Economics, Elsevier, vol. 86(1), pages 213-247, October.
  104. A. Golbabai & L. Ballestra & D. Ahmadian, 2014. "A Highly Accurate Finite Element Method to Price Discrete Double Barrier Options," Computational Economics, Springer;Society for Computational Economics, vol. 44(2), pages 153-173, August.
  105. Marcel Peter & Martín Grandes, 2005. "How Important Is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa," IMF Working Papers 05/217, International Monetary Fund.
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  107. Guerra, Solange Maria & Silva, Thiago Christiano & Tabak, Benjamin Miranda & de Souza Penaloza, Rodrigo Andrés & de Castro Miranda, Rodrigo César, 2016. "Systemic risk measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 329-342.
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  118. DeMarzo, Peter M. & Kremer, Ilan & Mansour, Yishay, 2016. "Robust option pricing: Hannan and Blackwell meet Black and Scholes," Journal of Economic Theory, Elsevier, vol. 163(C), pages 410-434.
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  121. Peter Carr & Liuren Wu, 2004. "Static Hedging of Standard Options," Finance 0409016, EconWPA.
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  128. Ammann, Manuel & Kind, Axel & Wilde, Christian, 2003. "Are convertible bonds underpriced? An analysis of the French market," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 635-653, April.
  129. Bondarenko, Oleg, 2003. "Estimation of risk-neutral densities using positive convolution approximation," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 85-112.
  130. Jeremy Leake, 2003. "Credit spreads on sterling corporate bonds and the term structure of UK interest rates," Bank of England working papers 202, Bank of England.
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  132. Constantin Mellios, 2001. "La gestion des risques financiers par les entreprises : explications théoriques versus études théoriques," Working Papers 2001-9, Laboratoire Orléanais de Gestion - université d'Orléans.
  133. Lyons, Richard K., 1988. "Tests of the foreign exchange risk premium using the expected second moments implied by option pricing," Journal of International Money and Finance, Elsevier, vol. 7(1), pages 91-108, March.
  134. Bergman, Nittai K. & Jenter, Dirk, 2007. "Employee sentiment and stock option compensation," Journal of Financial Economics, Elsevier, vol. 84(3), pages 667-712, June.
  135. Casas, Isabel & Gao, Jiti, 2008. "Econometric estimation in long-range dependent volatility models: Theory and practice," Journal of Econometrics, Elsevier, vol. 147(1), pages 72-83, November.
  136. Gürtler, Marc & Rauh, Ronald, 2009. "Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model," Working Papers IF32V2, Technische Universität Braunschweig, Institute of Finance.
  137. Halil Ibrahim Aydin & Ahmet Degerli & Pinar Ozlu, 2010. "Recovering Risk-Neutral Densities from Exchange Rate Options: Evidence in Turkey (Kur Opsiyonlarindan Riske Duyarsiz Yogunluk Fonksiyonu Cikarimi: Turkiye Ornegi)," Working Papers 1003, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
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