| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089906 | Journal of Banking & Finance | 2012 | 10 Pages |
Abstract
⺠The main idea is to enlarge the standard bridge between the historical and the risk neutral worlds, by introducing the notions of Second Order Laplace Transform, Second Order Esscher Transform and exponential quadratic stochastic discount factor. ⺠An application to option pricing is provided.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Alain Monfort, Fulvio Pegoraro,