Long-Term Risk: A Martingale Approach

DOI10.3982/ECTA13438zbMath1420.91475arXiv1411.3078MaRDI QIDQ4612496

Likuan Qin, Vadim Linetsky

Publication date: 31 January 2019

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.3078

zbMATH Keywords

principal eigenfunctionstochastic discount factorpricing kernellong bondlong forward measurelong-term factorizationlong-term risk-neutral measure

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

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