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The Journal of Business, Vol. 79, No. 2 (March 2006), pp. 941-961 (21 pages) In this paper, we construct a new variance bound on any stochastic discount factor (SDF) of the form \documentclass{aastex} ...

The Nature Index 2024 Research Leaders — previously known as Annual Tables — reveal the leading institutions and countries/territories in the natural and health sciences, according to their output in ...

We develop analytical methodology for pricing and hedging options on the realized variance under the Heston stochastic variance model (1993) augmented with jumps in asset returns and variance. By ...

This is a preview. Log in through your library . Abstract In this paper we consider a stochastic frontier model in which the distribution of technical inefficiency is truncated normal. In standard ...