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Determining and benchmarking risk neutral distributions implied from option prices.
Oliver Salazar Celis
Lingzhi Liang
Damiaan Lemmens
Jacques Tempère
Annie A. M. Cuyt
Published in:
Appl. Math. Comput. (2015)
Keyphrases
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risk neutral
risk averse
risk aversion
probability distribution
utility function
decision makers
risk sensitive
payoff functions
evolutionary algorithm
stochastic programming
random variables
long run
planning horizon