Econometric specification of stochastic discount factor models (Q278271): Difference between revisions

@@ Property / author @@
-Christian Gouriéroux
@@ Property / author: Christian Gouriéroux / rank @@
-Normal rank
@@ Property / author @@
-Alain Monfort
@@ Property / author: Alain Monfort / rank @@
-Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6575976
@@ Property / zbMATH DE Number: 6575976 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+derivative pricing
@@ Property / zbMATH Keywords: derivative pricing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Esscher transform
@@ Property / zbMATH Keywords: Esscher transform / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic discount factor
@@ Property / zbMATH Keywords: stochastic discount factor / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+variance-gamma model
@@ Property / zbMATH Keywords: variance-gamma model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+semiparametric pricing
@@ Property / zbMATH Keywords: semiparametric pricing / rank @@
+Normal rank
@@ Property / author @@
+Christian Gouriéroux
@@ Property / author: Christian Gouriéroux / rank @@
+Normal rank
@@ Property / author @@
+Alain Monfort
@@ Property / author: Alain Monfort / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2005.11.015
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@@ Property / OpenAlex ID @@
+W1997575166
@@ Property / OpenAlex ID: W1997575166 / rank @@
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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@@ Property / cites work @@
+Q4221330
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+On Esscher Transforms in Discrete Finance Models
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+A Theory of the Term Structure of Interest Rates
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+The Variance Gamma Process and Option Pricing
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+State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
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@@ links / mardi / name / links / mardi / name @@
+Publication:278271