Esscher transforms and consumption-based models (Q659151)
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scientific article; zbMATH DE number 6004651
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Esscher transforms and consumption-based models |
scientific article; zbMATH DE number 6004651 |
Statements
Esscher transforms and consumption-based models (English)
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10 February 2012
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Esscher transform
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Esscher-Girsanov transform
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consumption-based model
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stochastic discount factor
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exponential affine form
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Euler equation
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Radon-Nikodym derivative
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utility function
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0.8412408
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0.8359881
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0.81381494
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0.80761766
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0.80655885
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0.8061945
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