Monfort, Alain; Pegoraro, Fulvio - In: Journal of Banking & Finance 36 (2012) 6, pp. 1678-1687
The purpose of the paper is to introduce, in a discrete-time no-arbitrage pricing context, a bridge between the historical and the risk-neutral state vector dynamics which is wider than the one implied by a classical exponential-affine stochastic discount factor (SDF) and to preserve, at the...