An Extended Stein's Lemma for Asset Pricing

Auteur(s)

Paul Söderlind

Accéder

Descrizione

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.

Langue

English

Data

2009

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