Practical Implications of the General Approach in Asset Pricing

Authors

  • Наталия Владимировна Калашникова ОАО Международный Банк Санкт-Петербурга

Abstract

The paper concerns one of the approaches in contemporary asset pricing based on stochastic discount factor along with the generalized method of moments and conditioning information.

Keywords:

Pricing

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Author Biography

Наталия Владимировна Калашникова, ОАО Международный Банк Санкт-Петербурга

начальник отдела управления рисками

References

Литература на русском языке

Buraschi A., Jackwerth J. The Price of a Smile: Hedging and Spanninig in Option Markets//The Review if Financial Studies. 2001. Vol. 14. N 2. P. 495-527.

Gallant R., Hansen L., Tauchen G. Using Conditional Moments of Asset Payoffs to infer the Volatility if Inter-temporal Marginal Rates of Substitution//Journal of Econometrics. 1990. N 45. P. 141-179.

Hansen L. Large Sample Properties of Generalized Method of Moments Estimators//Econometrica. 1982. N 50. P. 1029-1054.

Hansen L., Richard S. The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models//Econometrica. 1987. N 55. P. 587-613.

Harrison J., Kreps D. Martingales and Arbitrage in Multiperiod Securities Markets//Journal of Economic Theory. 1979. N 2. P. 381-408.

Ross S. A Simple Approach to the Valuating of Risky Streams // Journal of Business. 1978. N 51. Р. 453-475.

Ross S. A Simple Approach to the Valuating of Risky Streams. P. 453-475.

Dybvig P., Ingersoll Jr. Mean-Variance Theory in Complete Markets // Journal of Business. 1982. N 55. P. 233-251.

Ross S. The Arbitrage Theory of Capital Asset Pricing // Journal of Economic Theory. 1976. N 13. P. 341-360.


References in Latin Alphabet


Translation of references in Russian into English

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Published

2006-12-29

How to Cite

Калашникова, Н. В. (2006). Practical Implications of the General Approach in Asset Pricing. St Petersburg University Journal of Economic Studies, (4), 146–150. Retrieved from https://economicsjournal.spbu.ru/article/view/4406

Issue

No. 4 (2006)

Section

Short Scientific Reports

License

Articles of the St Petersburg University Journal of Economic Studies are open access distributed under the terms of the License Agreement with Saint Petersburg State University, which permits to the authors unrestricted distribution and self-archiving free of charge.