Econometric specification of the risk neutral valuation model

E. Clement; C. Gourieroux; A. Monfort

doi:10.1016/S0304-4076(99)00019-6

Econometric specification of the risk neutral valuation model

E. Clement, C. Gourieroux, A. Monfort

Research output: Contribution to journal › Article › peer-review

Abstract

In complete markets the no arbitrage opportunity condition implies deterministic relationships between the prices of derivative assets. These relationships are incompatible with the available data and with statistical inference. The aim of this paper is to reconcile risk neutral valuation and statistical inference. For this purpose we justify an approach based on a stochastic risk-neutral measure.

Original language	English
Article number	2063
Pages (from-to)	117-143
Number of pages	27
Journal	Journal of Econometrics
Volume	94
Issue number	1-2
DOIs	https://doi.org/10.1016/S0304-4076(99)00019-6
Publication status	Published - 1 Jan 2000
Externally published	Yes

Keywords

Asymmetric information
Derivative assets
Gamma measure
Risk neutral valuation

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10.1016/S0304-4076(99)00019-6

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title = "Econometric specification of the risk neutral valuation model",

abstract = "In complete markets the no arbitrage opportunity condition implies deterministic relationships between the prices of derivative assets. These relationships are incompatible with the available data and with statistical inference. The aim of this paper is to reconcile risk neutral valuation and statistical inference. For this purpose we justify an approach based on a stochastic risk-neutral measure.",

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author = "E. Clement and C. Gourieroux and A. Monfort",

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AU - Gourieroux, C.

AU - Monfort, A.

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N2 - In complete markets the no arbitrage opportunity condition implies deterministic relationships between the prices of derivative assets. These relationships are incompatible with the available data and with statistical inference. The aim of this paper is to reconcile risk neutral valuation and statistical inference. For this purpose we justify an approach based on a stochastic risk-neutral measure.

AB - In complete markets the no arbitrage opportunity condition implies deterministic relationships between the prices of derivative assets. These relationships are incompatible with the available data and with statistical inference. The aim of this paper is to reconcile risk neutral valuation and statistical inference. For this purpose we justify an approach based on a stochastic risk-neutral measure.

KW - Asymmetric information

KW - Derivative assets

KW - Gamma measure

KW - Risk neutral valuation

U2 - 10.1016/S0304-4076(99)00019-6

DO - 10.1016/S0304-4076(99)00019-6

M3 - Article

AN - SCOPUS:0346932402

SN - 0304-4076

VL - 94

SP - 117

EP - 143

JO - Journal of Econometrics

JF - Journal of Econometrics

IS - 1-2

M1 - 2063

ER -

Econometric specification of the risk neutral valuation model

Abstract

Keywords

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