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

By Xiaoquan Liu, M. Shackleton, Stephen J. Taylor, Xinzhong Xu. 2007

142 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/59e7dcd125dd50994028016bcf10b12d07ef7859

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Fousseni Chabi-Yo
2. René Garcia
3. É. Renault
4. Jean-Pierre Florens

In Finance

1. Fousseni Chabi-Yo
2. É. Renault
3. René Garcia

Citations in the corpus

• State Dependence Can Explain the Risk Aversion Puzzle (2008, background): “3- Liu et al. (2004) propose a parametric closed-form transformation from risk-neutral to real-world distributions based on a mixture of two lognormal densities but without any particular economic interpretation.”
• Forecasting with Option-Implied Information (2012, unknown): “Liu et al. (2007) also investigate other parametric distributions.”