STOCHASTIC DEFLATOR FOR AN ECONOMIC SCENARIO GENERATOR WITH FIVE FACTORS
Résumé
In this paper, we implement a stochastic deflator with four economic and financial risk factors: interest rates, stock prices, default intensities, and convenience yields. We examine the deflator with different financial assets, such as stocks, zero‐coupon bonds, vanilla options, and corporate coupon bonds. Our numerical results show the reliability of the deflator approach in pricing financial derivatives.
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Deflator_v1.2.pdf (718.78 Ko)
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Deflator_v1.2_supplementary material.pdf (347.22 Ko)
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Origine | Fichiers produits par l'(les) auteur(s) |
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