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A computational study on general equilibrium pricing of derivative securities

Thijssen, Jacco J. J. (contributor) - 2007

Persistent link: https://www.econbiz.de/10003481715

Term structure models of interest rates with jump-diffusion information : equilibrium, CAPM, and derivative asset pricing

Kusuda, Koji - 2003

Persistent link: https://www.econbiz.de/10003379037

Equilibrium preference free pricing of derivatives under the generalized beta distributions

Ikeda, Masayuki - In: Review of derivatives research 13 (2010) 3, pp. 297-332

Persistent link: https://www.econbiz.de/10008695881

Efficiency in large dynamic panel models with common factor

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 …