Long-Term Risk: A Martingale Approach
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Publication:4612496
DOI10.3982/ECTA13438zbMath1420.91475arXiv1411.3078MaRDI QIDQ4612496
Publication date: 31 January 2019
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1411.3078
principal eigenfunctionstochastic discount factorpricing kernellong bondlong forward measurelong-term factorizationlong-term risk-neutral measure
Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
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