In this work, we present an analytical model, based on the path-integral formalism of statistical mechanics, for pricing options using first-passage time problems involving both fixed and deterministically moving absorbing barriers under possibly non-Gaussian distributions of the underlying...

This article implements the minimum variance frontier for the stochastic discount factor, according to both Hansen and Jagannathan (1991) and Cochrane and Hansen (1992), for the Brazilian stock market. Two approaches are considered in terms of equity returns and equity premium, respectively, the...