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In this paper, we implement a stochastic deflator with five economic andfinancial risk factors: interest rates, market price of risk, stock prices,default intensities, and convenience yields. We examine the deflator withdifferent financial assets, such as stocks, zero-coupon bonds, vanilla options,and corporate coupon bonds. We find required regularity conditions to implementour stochastic deflator. Our numerical results show the reliability of thedeflator approach in pricing financial derivatives.

Stochastic Deflator for an Economic Scenario Generator with Five Factors