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- W2799794049 abstract "In this paper, we implement a stochastic deflator with four economic and financial risk factors: interest rates, stock prices, default intensities, and convenience yields. We examine the deflator with different financial assets, such as stocks, zero‐coupon bonds, vanilla options, and corporate coupon bonds. Our numerical results show the reliability of the deflator approach in pricing financial derivatives." @default.
- W2799794049 created "2018-05-17" @default.
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- W2799794049 date "2018-03-12" @default.
- W2799794049 modified "2023-09-25" @default.
- W2799794049 title "STOCHASTIC DEFLATOR FOR AN ECONOMIC SCENARIO GENERATOR WITH FIVE FACTORS" @default.
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