The Pietra term structures of financial assets

Physica A: Statistical Mechanics and its Applications

Volumn 390, Issue 4, 2011, Pages 699-706

  Eliazar, Iddo ^a  

^a HOLON INSTITUTE OF TECHNOLOGY   (Israel)

Author keywords

Call options; Gini index; Implied volatility term structure; Lorenz curve; MertonBlackScholes option pricing formula; Pietra index; Pietra term structure; Risk neutral option pricing; Risk neutral probability

Indexed keywords

COSTS; ECONOMIC AND SOCIAL EFFECTS; FINANCIAL MARKETS;

CALL OPTIONS; GINI INDEX; LORENZ CURVES; OPTION PRICING; PIETRA INDEX; RISK-NEUTRAL PROBABILITY; TERM STRUCTURE;

ECONOMICS;

EID: 78650772837     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2010.10.021     Document Type: Article

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