Closed-form transformations from risk-neutral to real-world distributions
Article Properties
-
LanguageEnglish
-
DOI (url)
-
Publication Date2007/05/01
-
Journal
-
Indian UGC (journal)
-
Refrences39
-
Citations83
-
Xiaoquan Liu
-
Mark B. Shackleton
-
Stephen J. Taylor
-
Xinzhong Xu
Cite
Liu, Xiaoquan, et al. “Closed-Form Transformations from Risk-Neutral to Real-World Distributions”. Journal of Banking &Amp; Finance, vol. 31, no. 5, 2007, pp. 1501-20, https://doi.org/10.1016/j.jbankfin.2006.09.005.
Liu, X., Shackleton, M. B., Taylor, S. J., & Xu, X. (2007). Closed-form transformations from risk-neutral to real-world distributions. Journal of Banking &Amp; Finance, 31(5), 1501-1520. https://doi.org/10.1016/j.jbankfin.2006.09.005
Liu, Xiaoquan, Mark B. Shackleton, Stephen J. Taylor, and Xinzhong Xu. “Closed-Form Transformations from Risk-Neutral to Real-World Distributions”. Journal of Banking &Amp; Finance 31, no. 5 (2007): 1501-20. https://doi.org/10.1016/j.jbankfin.2006.09.005.
Liu X, Shackleton MB, Taylor SJ, Xu X. Closed-form transformations from risk-neutral to real-world distributions. Journal of Banking & Finance. 2007;31(5):1501-20.
Journal Categories
Social Sciences
Commerce
Business
Social Sciences
Commerce
Business
Accounting
Bookkeeping
Social Sciences
Economic theory
Demography
Economics as a science
Social Sciences
Finance
You May Also Like
- Is gold the best hedge and a safe haven under changing stock market volatility?
- The wages of social responsibility — where are they? A critical review of ESG investing
- Islamic and conventional banks' soundness during the 2007–2008 financial crisis
- Economic policy uncertainty and corporate investment: Evidence from China
- Islamic banking: Interest-free or interest-based?
Refrences
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| The Model-Free Implied Volatility and Its Information Content | The Review of Financial Studies |
| 731 | 2005 |
Option‐Implied Risk Aversion Estimates | The Journal of Finance |
| 451 | 2004 |
Predicting financial volatility: High‐frequency time‐series forecasts vis‐à‐vis implied volatility | Journal of Futures Markets |
| 135 | 2004 |
| Forecasting Volatility in Financial Markets: A Review | Journal of Economic Literature |
| 260 | 2003 |
| Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options | The Review of Financial Studies |
| 102 | 2003 |
Refrences Analysis
The category
Social Sciences: Economic theory. Demography: Economics as a science 28
is the most frequently represented among the references in this article. It primarily includes studies from Journal of Financial Economics The chart below illustrates the number of referenced publications per year.
Refrences used by this article by year
Citations
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
International evidence of the forecasting ability of option‐implied distributions | Journal of Forecasting |
| 2024 | |
| Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures | Journal of Econometrics |
| 2024 | |
| Option-Implied Physical Distributions | SSRN Electronic Journal | 2024 | ||
Leveraging prices from credit and equity option markets for portfolio risk management | Journal of Futures Markets |
| 2023 | |
The Impact of Transitory Climate Risk on Firm Valuation and Financial Institutions: A Stress Test Approach | Schmalenbach Journal of Business Research |
| 2023 |
Citations Analysis
The category
Social Sciences: Economic theory. Demography: Economics as a science 39
is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled A New Method of Employing the Principle of Maximum Entropy to Retrieve the Risk Neutral Density and was published in 2008. The most recent citation comes from a 2024 study titled Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures. This article reached its peak citation in 2009, with 12 citations. It has been cited in 31 different journals, 3% of which are open access. Among related journals, the SSRN Electronic Journal cited this research the most, with 32 citations. The chart below illustrates the annual citation trends for this article.