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A characterization of the coskewness-cokurtosis pricing model - MaRDI portal

A characterization of the coskewness-cokurtosis pricing model (Q2345149)

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A characterization of the coskewness-cokurtosis pricing model
scientific article

    Statements

    title
    A characterization of the coskewness-cokurtosis pricing model (English)
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    author
    Kerry Back
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    publication date
    19 May 2015
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    zbMATH Keywords
    skewness
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    kurtosis
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    coskewness
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    cokurtosis
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    stochastic discount factor
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    cites work
    Standard Risk Aversion
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    Q5599348
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    Identifiers

    zbMATH DE Number
    6436827
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    OpenAlex ID
    W3123659630
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