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Browsing Actuarial Science by Subject "Real-world probabilities"
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(University of Pretoria, 2022)In this thesis, we investigate several methods for extracting the forecast distribution from historical asset returns and market-quoted option prices. Typically, risk-neutral distributions, extracted from market quoted ...
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(Operations Research Society of South Africa, 2018-11-04)Recently, Ross derived a theorem, namely the “Recovery Theorem”, that allows for the recovery of the pricing kernel and real-world asset distribution, under particular assumptions, from a forward-looking risk neutral ...
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