Closed-form transformations from risk-neutral to real-world distributions

B-Tier

Journal: Journal of Banking & Finance

Year: 2007

Volume: 31

Issue: 5

Pages: 1501-1520

Authors (4)

Liu, Xiaoquan (not in RePEc) Shackleton, Mark B. (Lancaster University) Taylor, Stephen J. (not in RePEc) Xu, Xinzhong (Peking University)

Score contribution per author:

0.503 = (α=2.01 / 4 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count