Long-term factorization of affine pricing kernels
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Publication:1687374
DOI10.1007/s11579-017-0189-9zbMath1411.91580arXiv1610.00778OpenAlexW2529188824MaRDI QIDQ1687374
Publication date: 29 December 2017
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1610.00778
principal eigenfunctionstochastic discount factoraffine modelslong forward measurelong-term factorization
Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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