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Factor stochastic volatility in mean models : a GMM approach

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Persistent link: https://www.econbiz.de/10003355766

Efficient derivate pricing by extended method of moments

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Efficient derivative pricing by extended methods of moments

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On the efficient use of the informational content of estimating equations : implied probabilities and Euclidean empirical likelihood

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Efficient derivative pricing by the extended method of moments

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

In this paper we introduce the Extended Method of Moments (XMM) estimator. This estimator accommodates a more general set of moment restrictions than the standard Generalized Method of Moments (GMM) estimator. More specifically, the XMM differs from the GMM in that it can handle not only uniform...