Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Academic Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Second-order Esscher transform"
Narrow search
Narrow search
Year of publication
From:
To:
Subject
All
Second-Order GARCH Option Pricing Model
2
Affine autoregressive gamma models
1
Discrete time affine term structure models
1
Estimation theory
1
Exponential-quadratic stochastic discount factor
1
Non-linear stochastic risk-correction coefficients
1
Option pricing theory
1
Optionspreistheorie
1
Schock
1
Schätztheorie
1
Second-Order Esscher Transform
1
Second-Order Esscher transform
1
Second-order Esscher transform
1
Shock
1
Squared Gaussian shocks
1
Stochastic process
1
Stochastic volatility
1
Stochastischer Prozess
1
Volatility
1
Volatilität
1
Yield curve
1
Zinsstruktur
1
exponential-quadratic stochastic discount factor
1
non-linear stochastic risk-correction coefficients
1
variance-covariance spread
1
more ...
less ...
Online availability
All
Undetermined
2
Free
1
Type of publication
All
Article
2
Book / Working Paper
1
Type of publication (narrower categories)
All
Article in journal
1
Aufsatz in Zeitschrift
1
Language
All
Undetermined
2
English
1
Author
All
Monfort, A.
1
Monfort, Alain
1
Pegoraro, F.
1
Pegoraro, Fulvio
1
Realdon, Marco
1
Institution
All
Banque de France
1
Published in...
All
Journal of Banking & Finance
1
Quantitative finance
1
Working papers / Banque de France
1
Source
All
RePEc
2
ECONIS (ZBW)
1
Showing
1
-
3
of
3
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Realdon, Marco
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1365-1386
Persistent link: https://www.econbiz.de/10012608653
Saved in:
2
Asset Pricing with Second-Order Esscher Transforms.
Monfort, A.
;
Pegoraro, F.
-
Banque de France
-
2012
Second-Order
Esscher
Transform
. The log-pricing kernel is specified as a quadratic function of the factor and the associated …
Persistent link: https://www.econbiz.de/10010815981
Saved in:
3
Asset pricing with Second-Order Esscher Transforms
Monfort, Alain
;
Pegoraro, Fulvio
- In:
Journal of Banking & Finance
36
(
2012
)
6
,
pp. 1678-1687
Second-Order
Esscher
Transform
. The log-pricing kernel is specified as a quadratic function of the factor and the associated …
Persistent link: https://www.econbiz.de/10010574876
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
