Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying1

DOI10.1111/j.1467-9965.1993.tb00080.xzbMath0884.90018OpenAlexW1997340698MaRDI QIDQ4372002

Robert J. Elliott, Dilip B. Madan, Marc Chesney, Hailiang Yang

Publication date: 5 April 1998

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1993.tb00080.x

zbMATH Keywords

minimum variance estimatorexponential of a scalar diffusion

Mathematics Subject Classification ID

Related Items (4)

MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH ⋮ Optimal robust mean-variance hedging in incomplete financial markets ⋮ Testing for long-term memory in yen/dollar exchange rate ⋮ Efficient option pricing in crisis based on dynamic elasticity of variance model

Cites Work

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