Empirical reverse engineering of the pricing kernel.

DOI10.1016/S0304-4076(03)00111-8zbMath1038.62115OpenAlexW1965624118MaRDI QIDQ1398984

Mikhail Chernov

Publication date: 7 August 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00111-8

zbMATH Keywords

DerivativesAffine modelsOrdinary stochastic differential equationsPricing kernelReprojectionSimulated method of momentsStochastic discount factor

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (4)

The pricing kernel puzzle: survey and outlook ⋮ Empirical option pricing: A retrospection ⋮ Saddlepoint approximations for affine jump-diffusion models ⋮ Option pricing with conditional GARCH models

Cites Work

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• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Estimation of affine asset pricing models using the empirical characteristic function

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