Efficient Derivative Pricing by the Extended Method of Moments

DOI10.3982/ECTA7192zbMath1250.91097OpenAlexW3121165875MaRDI QIDQ3165269

Eric Renault, Christian Gouriéroux, Patrick Gagliardini

Publication date: 26 October 2012

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta7192

zbMATH Keywords

identificationGMMderivative pricingtrading activitysemiparametric efficiencyKLICweak instrumentnonparametric efficiencyinformation theoretic estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

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