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Browsing Research Articles (Actuarial Science) by UP Author "Flint, Emlyn James"

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Estimating option-implied distributions in illiquid markets and implementing the Ross recovery theorem

Flint, Emlyn James; Mare, Eben (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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