Matches in SemOpenAlex for { <https://semopenalex.org/work/W2090988803> ?p ?o ?g. }
Showing items 1 to 82 of
82
with 100 items per page.
- W2090988803 abstract "The market price of risk is conceptually one of the most critical artifacts of modern finance, since it provides the linkage between equilibrium and arbitrage models of derivatives pricing. In this paper, the market price of risk is derived for options on live cattle futures contracts. It provides a technique to extract the implied market price of risk (iMPR), which is conceptually similar to that used in extracting implied volatilities. It is shown that the iMPR is not linear across strike prices as theory suggests it should.Le prix de marche du risque est conceptuellement l'un des artefacts les plus importants de la finance moderne puisqu'il etablit le lien entre les modeles d'equilibre et les modeles d'evaluation par arbitrage de l'etablissement des prix des derives. Dans le present article, le prix de marche du risque est derive pour les options sur contrats a terme de bovins vivants. Il offre une technique pour extraire le prix de marche implicite du risque qui est conceptuellement similaire a celle utilisee pour extraire les volatilites implicites. Il est montre que le prix de marche implicite du risque n'est pas lineaire pour tous les prix de levee comme la theorie semble l'indiquer." @default.
- W2090988803 created "2016-06-24" @default.
- W2090988803 creator A5051422149 @default.
- W2090988803 creator A5059928043 @default.
- W2090988803 date "2006-09-01" @default.
- W2090988803 modified "2023-09-24" @default.
- W2090988803 title "Martingale Restrictions and the Implied Market Price of Risk" @default.
- W2090988803 cites W1594842258 @default.
- W2090988803 cites W1966119267 @default.
- W2090988803 cites W1982146494 @default.
- W2090988803 cites W1985018066 @default.
- W2090988803 cites W2009403353 @default.
- W2090988803 cites W2024328527 @default.
- W2090988803 cites W2038968059 @default.
- W2090988803 cites W2041550349 @default.
- W2090988803 cites W2046390707 @default.
- W2090988803 cites W2050067494 @default.
- W2090988803 cites W2076756274 @default.
- W2090988803 cites W2077791698 @default.
- W2090988803 cites W2094141507 @default.
- W2090988803 cites W2101266017 @default.
- W2090988803 cites W2119751929 @default.
- W2090988803 cites W2135190204 @default.
- W2090988803 cites W2146848558 @default.
- W2090988803 cites W2164271826 @default.
- W2090988803 cites W2167570857 @default.
- W2090988803 cites W3121459779 @default.
- W2090988803 cites W3121766168 @default.
- W2090988803 cites W3122839901 @default.
- W2090988803 cites W3124181023 @default.
- W2090988803 cites W3124375158 @default.
- W2090988803 cites W4235516736 @default.
- W2090988803 cites W4237058279 @default.
- W2090988803 cites W4238263089 @default.
- W2090988803 cites W4248511697 @default.
- W2090988803 cites W4251976397 @default.
- W2090988803 doi "https://doi.org/10.1111/j.1744-7976.2006.00056.x" @default.
- W2090988803 hasPublicationYear "2006" @default.
- W2090988803 type Work @default.
- W2090988803 sameAs 2090988803 @default.
- W2090988803 citedByCount "11" @default.
- W2090988803 countsByYear W20909888032012 @default.
- W2090988803 countsByYear W20909888032013 @default.
- W2090988803 countsByYear W20909888032017 @default.
- W2090988803 crossrefType "journal-article" @default.
- W2090988803 hasAuthorship W2090988803A5051422149 @default.
- W2090988803 hasAuthorship W2090988803A5059928043 @default.
- W2090988803 hasConcept C105795698 @default.
- W2090988803 hasConcept C106159729 @default.
- W2090988803 hasConcept C106306483 @default.
- W2090988803 hasConcept C160623529 @default.
- W2090988803 hasConcept C162324750 @default.
- W2090988803 hasConcept C194483076 @default.
- W2090988803 hasConcept C33923547 @default.
- W2090988803 hasConcept C48406656 @default.
- W2090988803 hasConcept C549774020 @default.
- W2090988803 hasConceptScore W2090988803C105795698 @default.
- W2090988803 hasConceptScore W2090988803C106159729 @default.
- W2090988803 hasConceptScore W2090988803C106306483 @default.
- W2090988803 hasConceptScore W2090988803C160623529 @default.
- W2090988803 hasConceptScore W2090988803C162324750 @default.
- W2090988803 hasConceptScore W2090988803C194483076 @default.
- W2090988803 hasConceptScore W2090988803C33923547 @default.
- W2090988803 hasConceptScore W2090988803C48406656 @default.
- W2090988803 hasConceptScore W2090988803C549774020 @default.
- W2090988803 hasLocation W20909888031 @default.
- W2090988803 hasOpenAccess W2090988803 @default.
- W2090988803 hasPrimaryLocation W20909888031 @default.
- W2090988803 hasRelatedWork W1481449548 @default.
- W2090988803 hasRelatedWork W1995802082 @default.
- W2090988803 hasRelatedWork W2145084374 @default.
- W2090988803 hasRelatedWork W2383605956 @default.
- W2090988803 hasRelatedWork W2386813304 @default.
- W2090988803 hasRelatedWork W2500707797 @default.
- W2090988803 hasRelatedWork W2737114589 @default.
- W2090988803 hasRelatedWork W2953190290 @default.
- W2090988803 hasRelatedWork W3125867903 @default.
- W2090988803 hasRelatedWork W60021177 @default.
- W2090988803 isParatext "false" @default.
- W2090988803 isRetracted "false" @default.
- W2090988803 magId "2090988803" @default.
- W2090988803 workType "article" @default.