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Econometric specification of stochastic discount factor models
Gouriéroux, Christian; Monfort, Alain - In: Journal of econometrics 136 (2007) 2, pp. 509-530
Persistent link: https://www.econbiz.de/10003412662
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Pricing with finite dimensional dependence
Gouriéroux, Christian; Monfort, Alain - In: Journal of econometrics 187 (2015) 2, pp. 408-417
Persistent link: https://www.econbiz.de/10011499694
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Quanto option pricing in the presence of fat tails and asymmetric dependence
Kim, Young Shin; Lee, Jaesung; Mittnik, Stefan; Park, Jiho - In: Journal of econometrics 187 (2015) 2, pp. 512-520
Persistent link: https://www.econbiz.de/10011499753
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Econometric specification of the risk neutral valuation model
Clément, Emmanuelle; Gouriéroux, Christian; Monfort, Alain - In: Journal of econometrics 94 (2000) 1/2, pp. 117-143
Persistent link: https://www.econbiz.de/10001437749
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Another look at the Ho-Lee bond option pricing model
Kim, Young Shin; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: The journal of derivatives : the official publication … 25 (2018) 4, pp. 48-53
Persistent link: https://www.econbiz.de/10011965408