Efficient Derivative Pricing by Extended Method of Moments

@inproceedings{Gagliardini2005EfficientDP,
  title={Efficient Derivative Pricing by Extended Method of Moments},
  author={Patrick Gagliardini and Gourieroux and Renault and D. S. Andrews and Xiaohong Chen and Russell Davidson and Jingfang Fan and Ren{\'e} Garcia and J Jackwerth and Oliver Linton and Loriano Mancini and A Melino and Claudio Ortelli and Olivier Scaillet and Michael Stutzer and Fabio Trojani and A Vedolin and B Werker and Eric Zivot},
  year={2005}
}
This paper extends GMM and information theoretic estimation to settings where the conditional moment restrictions are either uniform (i.e. valid for any value of the conditioning variable), or local (i.e. valid for a particular value of the conditioning variable only). The parameter of interest can be either a structural parameter, or a local conditional… CONTINUE READING