Econometric specification of the risk neutral valuation model

Journal of Econometrics

Volumn 94, Issue 1-2, 2000, Pages 117-143

  Clement, E ^a   Gourieroux, C ^b,c   Monfort, A ^b  

^a UNIVERSITÉ GUSTAVE EIFFEL   (France)

^b CREST   (France)

^c CEPREMAP   (France)

Author keywords

Asymmetric information; Derivative assets; Gamma measure; Risk neutral valuation

Indexed keywords

EID: 0346932402     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(99)00019-6     Document Type: Article

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