Asset Pricing with Second-Order Esscher Transforms
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- Monfort, Alain & Pegoraro, Fulvio, 2012. "Asset pricing with Second-Order Esscher Transforms," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1678-1687.
- Monfort, A. & Pegoraro, F., 2012. "Asset Pricing with Second-Order Esscher Transforms," Working papers 397, Banque de France.
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Cited by:
- Barthélemy, J. & Marx, M., 2012.
"Generalizing the Taylor Principle: New Comment,"
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- Jean Barthélemy & Magali Marx, 2012. "Generalizing the Taylor Principle: New Comment," Sciences Po publications 403, Sciences Po.
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- repec:bla:jrinsu:v:83:y:2016:i:4:p:877-912 is not listed on IDEAS
- Monfort, Alain & Pegoraro, Fulvio, 2012.
"Asset pricing with Second-Order Esscher Transforms,"
Journal of Banking & Finance,
Elsevier, vol. 36(6), pages 1678-1687.
- Alain MONFORT & Fulvio PEGORARO, 2010. "Asset Pricing with Second-Order Esscher Transforms," Working Papers 2010-54, Center for Research in Economics and Statistics.
- Monfort, A. & Pegoraro, F., 2012. "Asset Pricing with Second-Order Esscher Transforms," Working papers 397, Banque de France.
- Fengler, Matthias & Hin, Lin-Yee, 2011. "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series 1136, University of St. Gallen, School of Economics and Political Science, revised May 2013.
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- Alexandru Badescu & Robert J. Elliott & Juan-Pablo Ortega, 2012. "Quadratic hedging schemes for non-Gaussian GARCH models," Papers 1209.5976, arXiv.org, revised Dec 2013.
More about this item
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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