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.
| Original language | English |
|---|---|
| Pages (from-to) | 509-530 |
| Number of pages | 22 |
| Journal | Journal of Econometrics |
| Volume | 136 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 1 Feb 2007 |
| Externally published | Yes |
Keywords
- Derivative pricing
- Esscher transform
- Modèle variance-gamma
- Semi-parametric pricing
- Stochastic discount factor
- Transformée d'Esscher
- Valorisation
- Variance-gamma model
- facteur d'escompte stochastique
- valorisation semi-paramétrique
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