Diffusion coefficient estimation and asset pricing when risk premia and sensitive are time varying

Marc  Chesney; Robert Elliott; Dilip  Madan; Hailiang Yang

doi:10.1111/j.1467-9965.1993.tb00080.x

Diffusion coefficient estimation and asset pricing when risk premia and sensitive are time varying

Marc Chesney, Robert Elliott^*, Dilip Madan, Hailiang Yang

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

14 Citations (Scopus)

Abstract

The exponential of a scalar diffusion is considered. Point estimates of the diffusion coefficient can be obtained by considering proportional increments of different powers of the exponential. an investigation of the minimum variance estimator gives unique optimal power.

Original language	English
Pages (from-to)	85 - 99
Journal	Mathematical Finance
Volume	3
Issue number	2
DOIs	https://doi.org/10.1111/j.1467-9965.1993.tb00080.x
Publication status	Published - 1993
Externally published	Yes

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Chesney, M., Elliott, R., Madan, D., & Yang, H. (1993). Diffusion coefficient estimation and asset pricing when risk premia and sensitive are time varying. Mathematical Finance , 3(2), 85 - 99. https://doi.org/10.1111/j.1467-9965.1993.tb00080.x

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title = "Diffusion coefficient estimation and asset pricing when risk premia and sensitive are time varying",

abstract = "The exponential of a scalar diffusion is considered. Point estimates of the diffusion coefficient can be obtained by considering proportional increments of different powers of the exponential. an investigation of the minimum variance estimator gives unique optimal power.",

author = "Marc Chesney and Robert Elliott and Dilip Madan and Hailiang Yang",

year = "1993",

doi = "10.1111/j.1467-9965.1993.tb00080.x",

language = "English",

volume = "3",

pages = "85 -- 99",

journal = "Mathematical Finance ",

issn = "1467-9965",

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T1 - Diffusion coefficient estimation and asset pricing when risk premia and sensitive are time varying

AU - Chesney, Marc

AU - Elliott, Robert

AU - Madan, Dilip

AU - Yang, Hailiang

PY - 1993

Y1 - 1993

N2 - The exponential of a scalar diffusion is considered. Point estimates of the diffusion coefficient can be obtained by considering proportional increments of different powers of the exponential. an investigation of the minimum variance estimator gives unique optimal power.

AB - The exponential of a scalar diffusion is considered. Point estimates of the diffusion coefficient can be obtained by considering proportional increments of different powers of the exponential. an investigation of the minimum variance estimator gives unique optimal power.

U2 - 10.1111/j.1467-9965.1993.tb00080.x

DO - 10.1111/j.1467-9965.1993.tb00080.x

M3 - Article

SN - 1467-9965

VL - 3

SP - 85

EP - 99

JO - Mathematical Finance

JF - Mathematical Finance

IS - 2

ER -

Diffusion coefficient estimation and asset pricing when risk premia and sensitive are time varying

Abstract

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