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Retrieving risk neutral densities based on risk neutral moments through a Gram-Charlier series expansion.
Leonidas S. Rompolis
Elias Tzavalis
Published in:
Math. Comput. Model. (2007)
Keyphrases
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risk neutral
series expansion
risk averse
basis functions
risk aversion
risk sensitive
spherical harmonics
utility function
dynamic programming
optimal control
stochastic programming
multiscale
decision makers
linear combination