Asset Pricing with Second-Order Esscher Transforms.
Year of publication: |
2012
|
---|---|
Authors: | Monfort, A. ; Pegoraro, F. |
Institutions: | Banque de France |
Subject: | Second-Order Esscher transform | exponential-quadratic stochastic discount factor | non-linear stochastic risk-correction coefficients | variance-covariance spread | Second-Order GARCH Option Pricing Model |
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