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非参数隐含 Lévy 密度估计AI 解读

This paper develops a nonparametric estimator for the Lévy density of an asset price, following an Itô semimartingale, implied by short-maturity options. The asymptotic setup is one in which the time to maturity of the available options decreases, the mesh of the available strike grid shrinks and the strike range expands. The estimation is based on aggregating the observed option data into nonparametric estimates of the conditional characteristic function of the return…

长期风险：鞅方法AI 解读

This paper extends the long-term factorization of the stochastic discount factor introduced and studied by Alvarez and Jermann (2005) in discrete-time ergodic environments and by Hansen and Scheinkman (2009) and Hansen (2012) in Markovian environments to general semimartingale environments. The transitory component discounts at the stochastic rate of return on the long bond and is factorized into discounting at the long-term yield and a positive semimartingale that extends…