We thank D. Andrews, X. Chen, F. Corsi, R. Davidson, J. Fan, R. Garcia, J. Jackwerth, J. Jasiak, O. Linton, L. Mancini, A. Melino, C. Ortelli, O. Scaillet, M. Stutzer, F. Trojani, A. Vedolin, B. Werker, E. Zivot, a co-editor, and anonymous referees for helpful comments. The first author gratefully acknowledges financial support of the Swiss National Science Foundation through the NCCR FINRISK network. The second author gratefully acknowledges financial support of NSERC Canada and of the chair AXA/Risk Foundation: “Large Risks in Insurance.”
Efficient Derivative Pricing by the Extended Method of Moments
Article first published online: 1 JUL 2011
© 2011 The Econometric Society
Volume 79, Issue 4, pages 1181–1232, July 2011
How to Cite
Gagliardini, P., Gourieroux, C. and Renault, E. (2011), Efficient Derivative Pricing by the Extended Method of Moments. Econometrica, 79: 1181–1232. doi: 10.3982/ECTA7192
- Issue published online: 1 JUL 2011
- Article first published online: 1 JUL 2011
- Manuscript received May, 2007; final revision received November, 2010.
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