Pricing Kernels and Dynamic Portfolios

2002 ◽  
Author(s):  
Philippe Henrotte
Keyword(s):  
Pricing Kernels

Returns of Claims on the Upside and the Viability of U-Shaped Pricing Kernels

2009 ◽  
Author(s):  
Gurdip S. Bakshi ◽  
Dilip B. Madan ◽  
George Panayotov
Keyword(s):  
Pricing Kernels

scholarly journals Long-term factorization of affine pricing kernels

2017 ◽  
Vol 11 (4) ◽  
pp. 479-498 ◽  
Author(s):  
Likuan Qin ◽  
Vadim Linetsky
Keyword(s):  
Pricing Kernels

scholarly journals THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES

2006 ◽  
Vol 09 (07) ◽  
pp. 1179-1199 ◽  
Author(s):  
LUCA CAPRIOTTI
Keyword(s):  
Path Integral ◽  
Diffusion Processes ◽  
Transition Probabilities ◽  
Transition Probability ◽  
Financial Derivatives ◽  
Computational Technique ◽  
Physical Sciences ◽  
Pricing Kernels ◽  
Effective Approximation ◽  
Numerical Approaches

A computational technique borrowed from the physical sciences is introduced to obtain accurate closed-form approximations for the transition probability of arbitrary diffusion processes. Within the path integral framework the same technique allows one to obtain remarkably good approximations of the pricing kernels of financial derivatives. Several examples are presented, and the application of these results to increase the efficiency of numerical approaches to derivative pricing is discussed.

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