Empirical reverse engineering of the pricing kernel. (Q1398984)
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scientific article; zbMATH DE number 1961859
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Empirical reverse engineering of the pricing kernel. |
scientific article; zbMATH DE number 1961859 |
Statements
Empirical reverse engineering of the pricing kernel. (English)
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7 August 2003
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Pricing kernel
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Stochastic discount factor
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Derivatives
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Simulated method of moments
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Reprojection
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Affine models
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Ordinary stochastic differential equations
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0.8889258
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0.87046003
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0.85647476
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0.84577703
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0.83953136
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0.8263559
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0.82291025
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