1,050
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

Numerical Ross Recovery for Diffusion Processes Using a PDE Approach

&
Pages 46-66 | Received 20 Jan 2019, Accepted 12 Feb 2020, Published online: 18 Mar 2020

References

  • Alvarez, F., and J. Jerman. 2005. “Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth.” Econometrica 73: 1977–2016. doi:10.1111/ecta.2005.73.issue-6.
  • Audrino, F., R. Huitema, and M. Ludwig. 2014. “An Empirical Analysis of the Ross Recovery Theorem.” Working Paper, University of Zurich.
  • Backwell, A. 2015. “State Prices and Implementation of the Recovery Theorem.” Journal of Risk and Financial Management 8: 2–16. doi:10.3390/jrfm8010002.
  • Bakshi, G., F. Chabo-Yo, and X. Gao. 2018. “A Recovery that We Can Trust? Deducing and Testing the Restrictions of the Recovery Theorem.” Review of Financial Studies 31: 532–555.
  • Breeden, D. T., and R. H. Litzenberger. 1978. “Prices of State-contingent Claims Implicit in Option Prices.” Journal of Business. 621–651. doi:10.1086/296025.
  • Carr, P., and J. Yu. 2012. “Risk, Return, and Ross Recovery.” Journal of Derivatives 20: 38–59. doi:10.3905/jod.2012.20.1.038.
  • Dillschneider, Y., and R. Maurer. 2018. “Functional Ross Recovery: Theoretical Results and Empirical Tests.” Working Paper, Goethe University.
  • Dubynskiy, A., and R. S. Goldstein. 2013. “Recovering Drifts and Preference Parameters from Financial Derivatives.” Working Paper, University of Minnesota.
  • Dupire, B. 1994. “Pricing with a Smile.” Risk 7: 18–20.
  • Feller, W. 1971. An Introduction to Probability Theory and Its Applications. New York: Wiley.
  • Hansen, L. P. 2012. “Dynamic Valuation Decomposition Within Stochastic Economies.” Econometrica 80: 911–987.
  • Hansen, L. P., and J. A. Scheinkman. 2009. “Long-term Risk: An Operator Approach.” Econometrica 77: 177–234.
  • Hansen, L. P., and J. A. Scheinkman. 2013. “Stochastic Compounding and Uncertain Valuation.” Working Paper, Princeton University.
  • Jackwerth, J. C., and M. Menner. 2017. “Does the Ross Recovery Theorem Work Empirically.” Working Paper, University of Konstanz.
  • Jackwerth, J. C., and M. Rubinstein. 1996. “Recovering Probability Distributions from Option Prices.” Journal of Finance 51: 1611–1631. doi:10.1111/j.1540-6261.1996.tb05219.x.
  • Jensen, C. S., D. Lando, and L. H. Pedersen. 2019. “Generalized Recovery.” Journal of Financial Economics 133: 154–174.
  • Massacci, F., J. Williams, and Y. Zhang. 2016. “Empirical Recovery: Hansen-Scheinkman Factorization and Ross Recovery from High Frequency Option Prices.” Working Paper, Durham University.
  • Oksendahl, B. 1998. Stochastic Differential Equations. Springer-Verlag.
  • Park, H. 2016. “Ross Recovery with Recurrent and Transient Processes.” Quantitative Finance 16: 667–676. doi:10.1080/14697688.2015.1092572.
  • Qin, L., and V. Linetsky. 2016. “Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing.” Operations Reseach 64: 99–117.
  • Borovička, J., L. P. Hansen, and J. A. Scheinkman. 2016. “Misspecified Recovery”. Journal of Finance 71: 2493–2544. Forthcoming. doi:10.1111/jofi.2016.71.issue-6.
  • Ross, S. 2015. “The Recovery Theorem.” Journal of Finance 70: 615–648. doi:10.1111/jofi.12092.
  • Schneider, P., and F. Trojani. 2016. “(Almost) Model-Free Recovery.” Journal of Finance. Forthcoming.
  • Simmons, G. 1988. Differential Equations. New York: McGraw Hill.
  • Tran, N.-K., and S. Xia. 2014. “Specificed Recovery.” Working Paper, Olin Business School.
  • Walden, J. 2017. “Recovery with Unbounded Diffusion Processes.” Review of Finance 21: 1403–1444. doi:10.1093/rof/rfw068.