Econometric specification of stochastic discount factor models (Q278271): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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| Property / zbMATH DE Number: 6575976 / rank | |||
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derivative pricing | |||
| Property / zbMATH Keywords: derivative pricing / rank | |||
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Esscher transform | |||
| Property / zbMATH Keywords: Esscher transform / rank | |||
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stochastic discount factor | |||
| Property / zbMATH Keywords: stochastic discount factor / rank | |||
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variance-gamma model | |||
| Property / zbMATH Keywords: variance-gamma model / rank | |||
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semiparametric pricing | |||
| Property / zbMATH Keywords: semiparametric pricing / rank | |||
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Revision as of 17:59, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Econometric specification of stochastic discount factor models |
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Statements
Econometric specification of stochastic discount factor models (English)
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2 May 2016
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derivative pricing
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Esscher transform
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stochastic discount factor
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variance-gamma model
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semiparametric pricing
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