Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing
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DOI: 10.1287/opre.2015.1449
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Cited by:
- Hyungbin Park, 2018. "Sensitivity analysis of long-term cash flows," Finance and Stochastics, Springer, vol. 22(4), pages 773-825, October.
- Jensen, Christian Skov & Lando, David & Pedersen, Lasse Heje, 2019.
"Generalized recovery,"
Journal of Financial Economics, Elsevier, vol. 133(1), pages 154-174.
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- Steven Heston & Kris Jacobs & Hyung Joo Kim, 2023. "The Pricing Kernel in Options," Finance and Economics Discussion Series 2023-053, Board of Governors of the Federal Reserve System (U.S.).
- Hyungbin Park, 2021. "Influence of risk tolerance on long-term investments: A Malliavin calculus approach," Papers 2104.00911, arXiv.org.
- Hyungbin Park & Heejun Yeo, 2022. "Dynamic and static fund separations and their stability for long-term optimal investments," Papers 2212.00391, arXiv.org, revised Mar 2023.
- Hyungbin Park, 2019. "Convergence rates of large-time sensitivities with the Hansen--Scheinkman decomposition," Papers 1912.03404, arXiv.org, revised Jan 2021.
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- Tim Leung & Hyungbin Park, 2017.
"LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(06), pages 1-33, September.
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Keywords
asset pricing; Markov processes;Statistics
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