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

Université Gustave Eiffel
ENSAE
CEPREMAP Centre pour la Recherche Économique et ses Applications

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

Résumé

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.

langue originale	Anglais
Numéro d'article	2063
Pages (de - à)	117-143
Nombre de pages	27
journal	Journal of Econometrics
Volume	94
Numéro de publication	1-2
Les DOIs	https://doi.org/10.1016/S0304-4076(99)00019-6
état	Publié - 1 janv. 2000
Modification externe	Oui

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10.1016/S0304-4076(99)00019-6

Contient cette citation

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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.",

keywords = "Asymmetric information, Derivative assets, Gamma measure, Risk neutral valuation",

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

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EP - 143

JO - Journal of Econometrics

JF - Journal of Econometrics

IS - 1-2

M1 - 2063

ER -

Econometric specification of the risk neutral valuation model

Résumé

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