An Extended Stein's Lemma for Asset Pricing
Auteur(s)
Paul Söderlind
Accéder
Description
Stein's lemma is extended to the case where asset returns have skewed and leptokurtic distributions. The risk premium is still the negative of the covariance of the excess return with the log stochastic discount factor. The risk-neutral distribution has a simple form but is a nontrivial transformation of the physical distribution.
Institution partenaire
Langue
English
Date
2009
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