Stochastic Deflator for an Economic Scenario Generator with Five Factors

Po-Keng Cheng and Frédéric Planchet ()

Papers from arXiv.org

Abstract: In this paper, we implement a stochastic deflator with five economic and financial risk factors: interest rates, market price of risk, 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. We find required regularity conditions to implement our stochastic deflator. Our numerical results show the reliability of the deflator approach in pricing financial derivatives.

Date: 2018-06, Revised 2019-02
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1806.02991 Latest version (application/pdf)

Related works:
Working Paper: Stochastic Deflator for an Economic Scenario Generator with Five Factors (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1806.02991

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().