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Econometric Specification of the Risk Neutral Valuation Model

Author

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  • E, Clement

    (Crest)

  • Christian Gourieroux

    (Crest)

  • Alain Monfort

    (Crest)

Abstract

No abstract is available for this item.

Suggested Citation

  • E, Clement & Christian Gourieroux & Alain Monfort, 1997. "Econometric Specification of the Risk Neutral Valuation Model," Working Papers 97-33, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:97-33
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    File URL: http://crest.science/RePEc/wpstorage/1997-33.pdf
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    2. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.
    3. Marín-Sánchez, Freddy H. & Barrera, Alejandro Pinilla & Zambrano, Cristhian Montoya & Hurtado, Santiago Medina, 2025. "Valuation of European call options for the Scott’s stochastic volatility model: An explicit finite difference scheme," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 236(C), pages 411-425.
    4. Lim, G.C. & Martin, G.M. & Martin, V.L., 2006. "Pricing currency options in the presence of time-varying volatility and non-normalities," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 291-314, July.
    5. Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
    6. V. L. Martin & G. M. Martin & G. C. Lim, 2005. "Parametric pricing of higher order moments in S&P500 options," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 377-404.
    7. G.C. Lim & G.M. Martin & V.L. Martin, 2002. "Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns," Monash Econometrics and Business Statistics Working Papers 4/02, Monash University, Department of Econometrics and Business Statistics.

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