Title of article
Econometric specification of stochastic discount factor models
Author/Authors
Gourieroux، نويسنده , , C. and Monfort، نويسنده , , A.، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2007
Pages
22
From page
509
To page
530
Abstract
We consider the problem of derivative pricing when the stochastic discount factors are exponential-affine functions of underlying state variable. In particular we discuss the conditionally Gaussian framework and introduce semi-parametric pricing methods for models with path dependent drift and volatility. This approach is also applied to more complicated frameworks, such as pricing of a derivative written on an index, when the interest rate is stochastic.
Keywords
Valorisation , Transformée d’Esscher , facteur d’escompte stochastique , valorisation semi-paramétrique , Modèle variance-gamma , Derivative pricing , Esscher transform , Stochastic discount factor , Variance-gamma model , Semi-parametric pricing
Journal title
Journal of Econometrics
Serial Year
2007
Journal title
Journal of Econometrics
Record number
1559120
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