Qin, Likuan; Linetsky, Vadim - arXiv.org - 2014
We extend long-term factorization of the pricing kernel due to Alvarez and Jermann (2005) in discrete time ergodic environments and Hansen and Scheinkman (2009) in continuous ergodic Markovian environments to general semimartingale environments, without assuming the Markov property. An easy to...