IDEAS home Printed from
   My bibliography  Save this paper

Pricing with Splines


  • Christian Gourieroux


  • Alain Monfort



The exponential affine pricing principle is applied to the family of skewed Laplace historical distributions. The risk-neutral distribution is shown to belong to the same family and a closed form pricing formula for a European call is derived. This formula is a direct competitor of the Black-Scholes formula, but involves more parameters, that are location and tail parameters. This approach is extended to exponential affine spline conditional probability density function and stochastic discount factor leading to nonparametric pricing approaches. Finally the time coherency is introduced by means of a Markov specification.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Christian Gourieroux & Alain Monfort, 2002. "Pricing with Splines," Working Papers 2002-50, Center for Research in Economics and Statistics.
  • Handle: RePEc:crs:wpaper:2002-50

    Download full text from publisher

    File URL:
    File Function: Crest working paper version
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    1. Aronsson, Thomas & Blomquist, Soren & Sacklen, Hans, 1999. "Identifying Interdependent Behaviour in an Empirical Model of Labour Supply," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(6), pages 607-626, Nov.-Dec..
    Full references (including those not matched with items on IDEAS)

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:crs:wpaper:2002-50. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sri Srikandan) or (Christopher F Baum). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.