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 …
