中文摘要：

如何得到实用性强的经验随机折现因子是现代实证金融领域的一个难题。通过对Rosenberg-Engle投影随机折现因子参数估计方法进行扩展,改进Rosenberg-Engle仅适用于股指期权和外汇期权等多期权单标的资产状况,从而建立一种能够同时适用于单一期权单一标的资产和少数期权单一标的资产情形的投影随机折现因子估计方法。

英文摘要：

How to obtain the practical empirical stochastic discounted factors（ SDF） is a difficult problem in empirical asset pricing theory. This paper has expanded the methods of dynamic empirical projection by Rosenberg and Engle（ 2002）,w hich w orks only w hen there are many options listed on one underlying asset such as stock index options or foreign exchange options. The estimation methods of the dynamic empirical SDF projection has been explored to w ork comprehensively in every situation such as many options on one asset,few options on one asset or one option on one asset.