Pricing and Inference with Mixtures of Conditionally Normal Processes

By H. Bertholon, Alain Monfort, Fulvio Pegoraro. 2009

55 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/745ff287ddc29a2d7961130c5b39e891cb101b81

Citations in the corpus

• Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation (2009, unknown): “Following Bertholon, Monfort, and Pegoraro (2003), our solution to the option pricing problem will be based on the use of a stochastic discount factor with an exponential a ffi ne form: which is consistent with a constant relative risk aversion utility function where α is (minus) the coe ffi cient of…”