Econometric specification of stochastic discount factor models

Journal of Econometrics

Volumn 136, Issue 2, 2007, Pages 509-530

  Gourieroux, C ^a   Monfort, A ^b  

^a UNIVERSITY OF TORONTO   (Canada)

^b CNAM and CREST   (France)

Author keywords

Derivative pricing; Esscher transform; facteur d'escompte stochastique; Mod le variance gamma; Semi parametric pricing; Stochastic discount factor; Transform e d'Esscher; Valorisation; valorisation semi param trique; Variance gamma model

Indexed keywords

ECONOMICS; FUNCTION EVALUATION; MATHEMATICAL MODELS;

ECONOMETRIC SPECIFICATION; GAUSSIAN FRAMEWORK; STOCHASTIC DISCOUNT FACTOR MODELS;

STOCHASTIC CONTROL SYSTEMS;

EID: 33845313926     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.11.015     Document Type: Article

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