Empirical reverse engineering of the pricing kernel. (Q1398984): Difference between revisions

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Latest revision as of 10:32, 30 July 2024

scientific article
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Empirical reverse engineering of the pricing kernel.
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    Empirical reverse engineering of the pricing kernel. (English)
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    7 August 2003
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    Pricing kernel
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    Stochastic discount factor
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    Derivatives
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    Simulated method of moments
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    Reprojection
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    Affine models
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    Ordinary stochastic differential equations
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