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A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps.
Liyuan Jiang
Shuang Zhou
Keren Li
Fangfang Wang
Jie Yang
Published in:
Frontiers Appl. Math. Stat. (2020)
Keyphrases
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risk neutral
risk averse
density estimates
risk aversion
risk sensitive
sensitivity analysis
multi objective