Econometric specification of stochastic discount factor models (Q278271): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
Normal rank | |||
| Property / zbMATH DE Number | |||
| 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 | |||
Revision as of 16:59, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Econometric specification of stochastic discount factor models |
scientific article |
Statements
Econometric specification of stochastic discount factor models (English)
0 references
2 May 2016
0 references
derivative pricing
0 references
Esscher transform
0 references
stochastic discount factor
0 references
variance-gamma model
0 references
semiparametric pricing
0 references
