Publikation: Asset pricing under information with stochastic volatility
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2008
Autor:innen
Düring, Bertram
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Zusammenfassung
Based on a general specification of the asset specific pricing kernel, we develop a pricing model using an information process with stochastic volatility. We derive analytical asset and option pricing formulas. The asset prices in this rational expectations model exhibit crash-like, strong downward movements. The resulting option pricing formula is consistent with the strong negative skewness and high levels of kurtosis observed in empirical studies. Furthermore, we determine credit spreads in a simple structural model.
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Fachgebiet (DDC)
330 Wirtschaft
Schlagwörter
Pricing kernel, stochastic volatility, asset pricing, option pricing, credit spreads
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DÜRING, Bertram, 2008. Asset pricing under information with stochastic volatilityBibTex
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year={2008},
series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
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author={Düring, Bertram}
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<dcterms:abstract xml:lang="eng">Based on a general specification of the asset specific pricing kernel, we develop a pricing model using an information process with stochastic volatility. We derive analytical asset and option pricing formulas. The asset prices in this rational expectations model exhibit crash-like, strong downward movements. The resulting option pricing formula is consistent with the strong negative skewness and high levels of kurtosis observed in empirical studies. Furthermore, we determine credit spreads in a simple structural model.</dcterms:abstract>
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