Risk, Return, and Ross Recovery

By Peter P. Carr, Jiming Yu. Jurnal derivate, 2012

98 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/8dee1236a13c8866be1f1b9407aee7a24fd00264

Citations in the corpus

• Recovery with Unbounded Diffusion Processes (2017, unknown): “A recent paper by Borovic̆ka et al. (2014), as well as the earlier work by Alvarez and Jerman (2005) suggest that the market’s pricing kernel contains a nontrivial martingale component, which is inconsistent with transition independence (see also the emerging empirical recovery literature, Audrino e”
• Long Term Risk: A Martingale Approach (2014, unknown): “om given Arrow-Debreu state prices. Ross’ proof crucially relies on the Perron-Frobenius theorem establishing existence and uniqueness of a positive eigenvector of an irreducible non-negative matrix. Carr and Yu (2012) observe that Ross’ recovery result can be extended to 1D diffusions on bounded int”