Concepedia

State-price Density

State-Price Density is the Radon-Nikodym derivative of the risk-neutral measure with respect to the physical probability measure, representing the stochastic discount factor normalized by the intertemporal marginal rate of substitution in asset pricing.

52

Publications

4.5K

Citations

70

Authors

65

Institutions

Publications per year

2017–2026

4

Variants

State Price Density

Parents

Publications

52

Spanning and derivative-security valuation

Gurdip Bakshi, Dilip B. Madan · Journal of Financial Economics · 2000 · 788 citations

, , +17

HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>

Jakša Cvitanić, Ioannis Karatzas · Mathematical Finance · 1996 · 331 citations

, , +17

The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates

L. C. G. Rogers · Mathematical Finance · 1997 · 285 citations

, , +17

Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution

Moshe A. Milevsky, Steven E. Posner · Journal of Financial and Quantitative Analysis · 1998 · 272 citations

, , +15

Non-Parametric Risk Management and Implied Risk Aversion

Yacine Aı̈t-Sahalia, Andrew W. Lo · SSRN Electronic Journal · 1998 · 258 citations · Full text

, , +15

1–5 of 52

Authors

70

  1. SE
    Steven E. Posner

    York University, Canada

    3 publications · 470 citations

    3

    h-index

  2. AZ
    Alexandre Ziegler

    Swiss Finance Institute, Switzerland

    3 publications · 166 citations

    3

    h-index

  3. MA
    Moshe A. Milevsky

    York University, Canada

    3 publications · 470 citations

    3

    h-index

  4. JF
    Jianqing Fan

    Princeton University, United States

    3 publications · 197 citations

    3

    h-index

  5. WK
    Wolfgang Karl Härdle

    Humboldt-Universität zu Berlin, Germany

    3 publications · 145 citations

    3

    h-index

1–5 of 70

Institutions

65

  1. University of Zurich

    Zurich, Switzerland

    4 h-index

    4 publications

    110 citations

  2. Columbia University

    New York, United States

    4 h-index

    5 publications

    788 citations

  3. Swiss Finance Institute

    Zurich, Switzerland

    3 h-index

    4 publications

    366 citations

  4. Chinese Academy of Sciences

    Beijing, China

    3 h-index

    3 publications

    113 citations

  5. École Polytechnique Fédérale de Lausanne

    Lausanne, Switzerland

    3 h-index

    5 publications

    330 citations

  6. York University

    Toronto, Canada

    3 h-index

    3 publications

    470 citations

  7. Princeton University

    Princeton, United States

    2 h-index

    2 publications

    301 citations

  8. Massachusetts Institute of Technology

    Cambridge, United States

    2 h-index

    2 publications

    293 citations

1–8 of 65

Venues

  1. SSRN Electronic Journal

    Repository · 9 publications · 567 citations

    9

    h-index

  2. Journal of Econometrics

    4 publications · 205 citations

    4

    h-index

  3. Review of Financial Studies

    4 publications · 308 citations

    4

    h-index

  4. RePEc: Research Papers in Economics

    Repository · 3 publications · 69 citations

    3

    h-index

  5. Mathematical Finance

    3 publications · 691 citations

    3

    h-index

1–5