Title of article :
Econometric specification of stochastic discount factor models
Author/Authors :
Gourieroux، نويسنده , , C. and Monfort، نويسنده , , A.، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 2007
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.
Keywords :
Valorisation , Transformée d’Esscher , facteur d’escompte stochastique , valorisation semi-paramétrique , Modèle variance-gamma , Derivative pricing , Esscher transform , Stochastic discount factor , Variance-gamma model , Semi-parametric pricing
Journal title :
Journal of Econometrics
Journal title :
Journal of Econometrics