In this paper we consider an incomplete market framework and explainhow to use jointlyobserv ed prices of the underlying asset and of some derivativeswritten on this asset for an efficient pricing of other derivatives. Thisquestion involves two types of moment restrictions, which can be...

In this paper, we consider an incomplete market framework and explain how to usejointly observed prices of the underlying asset and of some derivatives written on this assetfor an efficient pricing of other derivatives. This question involves two types of momentrestrictions, which can be written...

In this paper we consider an incomplete market framework and explain how to use jointly observed prices of the underlying asset and some derivatives written on this asset for an efficient pricing of other derivatives. This question involves two types of moment restrictions, which can be written...

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...