Title of article
Econometric specification of the risk neutral valuation model
Author/Authors
Clement، نويسنده , , E. and Gourieroux، نويسنده , , C. and Monfort، نويسنده , , A.، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2000
Pages
27
From page
117
To page
143
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
Risk neutral valuation , Gamma measure , Derivative assets , Asymmetric information
Journal title
Journal of Econometrics
Serial Year
2000
Journal title
Journal of Econometrics
Record number
1556985
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