LRNVR

AcronymDefinition
LRNVRLocally Risk-Neutral Valuation Relationship (mathematical modeling)
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References in periodicals archive ?
In option pricing under the GARCH framework, Duan (1995) used the equilibrium approach and the concept of locally risk-neutral relationship (LRNVR) in which the conditional variances under the physical and risk-neutral measures are equal; Siu et al.