Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying1

Marc Chesney, Robert J. Elliott, Dilip Madan and Hailiang Yang

Mathematical Finance, 1993, vol. 3, issue 2, 85-99

Abstract: The exponential of a scalar diffusion is considered. Point estimates of the diffusion coefficient can be obtained by considering proportional increments of different powers of the exponential. an investigation of the minimum variance estimator gives unique optimal power.

Date: 1993
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