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Closed-form transformations from risk-neutral to real-world distributions

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Closed-form transformations from risk-neutral to real-world distributions. / Liu, X; Shackleton, M B; Taylor, S J; Xu, X.

In: Journal of Banking and Finance, Vol. 31, No. 5, 2007, p. 1501-1520.

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Liu, X ; Shackleton, M B ; Taylor, S J ; Xu, X. / Closed-form transformations from risk-neutral to real-world distributions. In: Journal of Banking and Finance. 2007 ; Vol. 31, No. 5. pp. 1501-1520.

Bibtex

@article{82ae851343e24374a3824801f09a0d34,
title = "Closed-form transformations from risk-neutral to real-world distributions",
abstract = "doi:10.1016/j.jbankfin.2006.09.005 http://www.sciencedirect.com/science?_ob=MImg&_imagekey=B6VCY-4MWPSJ0-9-1&_cdi=5967&_user=196517&_orig=browse&_coverDate=01{\%}2F24{\%}2F2007&_sk=999999999&view=c&wchp=dGLbVtb-zSkzV&md5=3821c76813e2d4f1316c7a2d0ad19de3&ie=/sdarticle.pdf Available online 24 January 2007",
author = "X Liu and Shackleton, {M B} and Taylor, {S J} and X Xu",
year = "2007",
doi = "10.1016/j.jbankfin.2006.09.005",
language = "English",
volume = "31",
pages = "1501--1520",
journal = "Journal of Banking and Finance",
issn = "0378-4266",
publisher = "Elsevier",
number = "5",

}

RIS

TY - JOUR

T1 - Closed-form transformations from risk-neutral to real-world distributions

AU - Liu, X

AU - Shackleton, M B

AU - Taylor, S J

AU - Xu, X

PY - 2007

Y1 - 2007

N2 - doi:10.1016/j.jbankfin.2006.09.005 http://www.sciencedirect.com/science?_ob=MImg&_imagekey=B6VCY-4MWPSJ0-9-1&_cdi=5967&_user=196517&_orig=browse&_coverDate=01%2F24%2F2007&_sk=999999999&view=c&wchp=dGLbVtb-zSkzV&md5=3821c76813e2d4f1316c7a2d0ad19de3&ie=/sdarticle.pdf Available online 24 January 2007

AB - doi:10.1016/j.jbankfin.2006.09.005 http://www.sciencedirect.com/science?_ob=MImg&_imagekey=B6VCY-4MWPSJ0-9-1&_cdi=5967&_user=196517&_orig=browse&_coverDate=01%2F24%2F2007&_sk=999999999&view=c&wchp=dGLbVtb-zSkzV&md5=3821c76813e2d4f1316c7a2d0ad19de3&ie=/sdarticle.pdf Available online 24 January 2007

U2 - 10.1016/j.jbankfin.2006.09.005

DO - 10.1016/j.jbankfin.2006.09.005

M3 - Journal article

VL - 31

SP - 1501

EP - 1520

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

SN - 0378-4266

IS - 5

ER -