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Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying 1
Author(s) -
Chesney Marc,
Elliott Robert J.,
Madan Dilip,
Yang Hailiang
Publication year - 1993
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/j.1467-9965.1993.tb00080.x
Subject(s) - diffusion , exponential function , estimator , variance (accounting) , capital asset pricing model , scalar (mathematics) , mathematics , econometrics , risk premium , economics , statistics , physics , mathematical analysis , thermodynamics , geometry , accounting
The exponential of a scalar diffusion is considered. Point estimates of the diffusion coefficient can be obtained by considering proportional increments of different powers of the exponential. an investigation of the minimum variance estimator gives unique optimal power.