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Browsing Actuarial Science by Subject "Ross recovery theorem"
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(Actuarial Society of South Africa, 2017)In this research we describe how forward-looking information on the statistical properties of an asset can be extracted directly from options market data and demonstrate how this can be practically applied to portfolio ...
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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 ...
Now showing items 1-2 of 2