Econometric specification of stochastic discount factor models

DOI10.1016/j.jeconom.2005.11.015zbMath1420.91461MaRDI QIDQ278271

Publication date: 2 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.11.015

zbMATH Keywords

derivative pricing; Esscher transform; semiparametric pricing; stochastic discount factor; variance-gamma model

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G20: Derivative securities (option pricing, hedging, etc.)

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