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Efficient derivate pricing by extended method of moments

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Efficient derivative pricing by extended methods of moments

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Gagliardini, Patrick; Gouriéroux, Christian - 2009 - This version: March 2009

This paper deals with efficient estimation in exchangeable nonlinear dynamic panel models with common unobservable factor. The specification accounts for both micro- and macro-dynamics, induced by the lagged individual observation and the common stochastic factor, respectively. For large...

Persistent link: https://www.econbiz.de/10003970309

Efficient derivative pricing by the extended method of moments

Gagliardini, Patrick; Gouriéroux, Christian; Renault, Eric - 2010 - this version: October 2009

. The local conditional moment restrictions are of special relevance in derivative pricing for reconstructing the pricing … operator at a given day, by using the information in a few cross-sections of observed traded derivative prices and a time … series of underlying asset returns. The estimated derivative prices are consistent for large time series dimension, but fixed …