Rafael Azevedo

Getulio Vargas Foundation (FGV)

R. Dr. Neto de Araujo 320 cj 1307

Rio de Janeiro, Rio de Janeiro 22250-900

Brazil

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Scholarly Papers (1)

1.

An Anatomy of Generalized Entropic Estimators in Option Pricing

Number of pages: 59 Posted: 10 Dec 2014 Last Revised: 02 Oct 2019
Caio Almeida, Gustavo Freire, Rafael Azevedo and Kym Ardison
Getulio Vargas Foundation, EPGE Brazilian School of Economics and Finance, Getulio Vargas Foundation (FGV) and Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finan├žas
Downloads 121 (233,581)

Abstract:

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Risk-Neutral Measure, Option Pricing, Risk Premium, Nonparametric Estimation, Stochastic Volatility, Jumps, Cressie-Read Discrepancies