Long-term factorization of affine pricing kernels
Likuan Qin, Vadim Linetsky
| Year of publication: |
September 2017
|
|---|---|
| Authors: | Qin, Likuan ; Linetsky, Vadim |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 11.2017, 4, p. 479-498
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| Subject: | Stochastic discount factor | Affine models | Long-term factorization | Long forward measure | Principal eigenfunction | Zinsstruktur | Yield curve | CAPM | Optionspreistheorie | Option pricing theory | Diskontierung | Discounting | Stochastischer Prozess | Stochastic process | Faktorenanalyse | Factor analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-017-0189-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011900582