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Recovering subjective probability distributions

Published:2022-04-27 Issue:7 Volume:42 Page:1234-1263
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:Journal of Futures Markets

Author:

Yamazaki Akira¹²^ORCID

Affiliation:

1. Graduate School of Business Administration Hosei University Chiyoda‐ku Tokyo Japan

2. The Research Institute for Innovation Management Hosei University Chiyoda‐ku Tokyo Japan

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22328

Reference41 articles.

1. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices

2. Nonparametric risk management and implied risk aversion

3. Audrino F. Huitema R. &Ludwig M.(2015). An empirical analysis of the Ross recovery theorem. Available at SSRN 2433170.

4. Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

5. Returns of claims on the upside and the viability of U-shaped pricing kernels☆

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Subjective Probability Distributions of Nonlinear Payoffs: Recovering Option Payoff, Agent's Utility, and Pricing Kernel Distributions;2024

2. Subjective Probability Distributions of Nonlinear Payoffs: Recovering Option Payoff, Agent's Utility, and Pricing Kernel Distributions;2024

3. Uncertainty Entropy-Based Exploratory Evaluation Method and Its Applications on Missile Effectiveness Evaluation;Journal of Systems Engineering and Electronics;2023-12

4. Subjective Probability Distributions of Nonlinear Payoffs: Recovering Option Payoff and Agent's Utility Distributions;SSRN Electronic Journal;2023

5. Subjective Probability Distributions of Nonlinear Payoffs: Recovering Option Payoff, Agent's Utility, and Pricing Kernel Distributions;2023

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