haku: @author Gourieroux, C. / yhteensä: 2
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Tekijä: | Clement, E. Gourieroux, C. Monfort, A. |
Otsikko: | Economic specification of the risk neutral valuation model |
Lehti: | Journal of Econometrics
2000 : JAN-FEB, VOL. 94:1-2, p. 117-143 |
Asiasana: | ECONOMETRICS RISK VALUATION MODELS ASYMMETRIC INFORMATION |
Kieli: | eng |
Tiivistelmä: | The no arbitrage opportunity condition implies deterministic relationships between the prices of derivative assets in complete markets. The relationships are incompatible with the available data and statistical inference. This paper reconciles risk neutral valuation and statistical inference. For this an approach based on a stochastic risk-neutral measure is justified. |
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