Econometric specification of stochastic discount factor models

C. Gourieroux; A. Monfort

doi:10.1016/j.jeconom.2005.11.015

Econometric specification of stochastic discount factor models

C. Gourieroux
, A. Monfort

University of Toronto
CNAM and CREST

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

45 Citations (Scopus)

Résumé

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.

langue originale	Anglais
Pages (de - à)	509-530
Nombre de pages	22
journal	Journal of Econometrics
Volume	136
Numéro de publication	2
Les DOIs	https://doi.org/10.1016/j.jeconom.2005.11.015
état	Publié - 1 févr. 2007
Modification externe	Oui

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10.1016/j.jeconom.2005.11.015

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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.",

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AB - 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.

KW - Derivative pricing

KW - Esscher transform

KW - Modèle variance-gamma

KW - Semi-parametric pricing

KW - Stochastic discount factor

KW - Transformée d'Esscher

KW - Valorisation

KW - Variance-gamma model

KW - facteur d'escompte stochastique

KW - valorisation semi-paramétrique

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Econometric specification of stochastic discount factor models

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