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State Prices and Implementation of the Recovery Theorem

https://doi.org/10.3390/jrfm8010002
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1017/cbo9780511609220.014openalex-snapshot
Prospect theory: An analysis of decision under risk
inferredcites →https://doi.org/10.1080/713665670openalex-snapshot
Empirical properties of asset returns: stylized facts and statistical issues
inferredcites →https://doi.org/10.1086/296025openalex-snapshot
Prices of State-Contingent Claims Implicit in Option Prices
inferredcites →https://doi.org/10.1090/mbk/121/32openalex-snapshot
Theory of games and economic behavior
inferredcites →https://doi.org/10.1111/j.1540-6261.1994.tb00079.xopenalex-snapshot
Implied Binomial Trees
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb05219.xopenalex-snapshot
Recovering Probability Distributions from Option Prices
inferredcites →https://doi.org/10.1111/jofi.12092openalex-snapshot
The Recovery Theorem
inferredcites →https://doi.org/10.1137/1.9780898719512openalex-snapshot
Matrix Analysis and Applied Linear Algebra
inferredcites →https://doi.org/10.2139/ssrn.2244394openalex-snapshot
Recovering Drifts and Preference Parameters from Financial Derivatives
inferredcites →https://doi.org/10.2139/ssrn.2433170openalex-snapshot
An Empirical Analysis of the Ross Recovery Theorem
inferredcites →https://doi.org/10.2307/1914185openalex-snapshot
Prospect Theory: An Analysis of Decision under Risk
inferredcites →https://doi.org/10.2307/2967612openalex-snapshot
A Note on Measurement of Utility
inferredcites →https://doi.org/10.3905/jod.2012.20.1.038openalex-snapshot
Risk, Return, and Ross Recovery

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.2767535openalex-extracted
The Information Hidden in Derivatives Markets
inferred← citeshttps://doi.org/10.2139/ssrn.2817080openalex-extracted
Estimating Option-Implied Distributions in Illiquid Markets and Implementing the Ross Recovery Theorem
inferred← citeshttps://doi.org/10.2139/ssrn.2991984openalex-extracted
Functional Ross Recovery: An Operator Approach
inferred← citeshttps://doi.org/10.2139/ssrn.3197507openalex-extracted
The Ross Recovery Theorem with a Regularised Multivariate Markov Chain
inferred← citeshttps://doi.org/10.1002/ijfe.70192openalex-snapshot
Revisiting and Extending Our Understanding of Market Responses to Unconventional Monetary Policy
inferred← citeshttps://doi.org/10.1007/s11579-016-0179-3openalex-snapshot
Additive portfolio improvement and utility-efficient payoffs
inferred← citeshttps://doi.org/10.1016/j.jedc.2019.103750openalex-snapshot
Functional Ross recovery: Theoretical results and empirical tests
inferred← citeshttps://doi.org/10.1080/1350486x.2020.1730202openalex-snapshot
Numerical Ross Recovery for Diffusion Processes Using a PDE Approach
inferred← citeshttps://doi.org/10.1137/17s016440openalex-snapshot
Calibration of the Ross Recovery Theorem to Real-world Data, and Tests of its Practical Value
inferred← citeshttps://doi.org/10.15807/jorsj.62.83openalex-snapshot
ESTIMATING FORWARD LOOKING DISTRIBUTION WITH THE ROSS RECOVERY THEOREM
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