Asset pricing under information with stochastic volatility
| dc.contributor.author | Düring, Bertram | deu |
| dc.date.accessioned | 2011-03-25T09:43:14Z | deu |
| dc.date.available | 2011-03-25T09:43:14Z | deu |
| dc.date.issued | 2008 | deu |
| dc.description.abstract | 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. | eng |
| dc.description.version | published | |
| dc.format.mimetype | application/pdf | deu |
| dc.identifier.ppn | 322999510 | deu |
| dc.identifier.uri | http://kops.uni-konstanz.de/handle/123456789/12176 | |
| dc.language.iso | eng | deu |
| dc.legacy.dateIssued | 2010 | deu |
| dc.relation.ispartofseries | CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie | |
| dc.rights | Attribution-NonCommercial-NoDerivs 2.0 Generic | |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/2.0/ | |
| dc.subject | Pricing kernel | deu |
| dc.subject | stochastic volatility | deu |
| dc.subject | asset pricing | deu |
| dc.subject | option pricing | deu |
| dc.subject | credit spreads | deu |
| dc.subject.ddc | 330 | deu |
| dc.title | Asset pricing under information with stochastic volatility | eng |
| dc.type | WORKINGPAPER | deu |
| dspace.entity.type | Publication | |
| kops.bibliographicInfo.seriesNumber | 2008/04 | deu |
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series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
title={Asset pricing under information with stochastic volatility},
number={2008/04},
author={Düring, Bertram}
} | |
| kops.citation.iso690 | DÜRING, Bertram, 2008. Asset pricing under information with stochastic volatility | deu |
| kops.citation.iso690 | DÜRING, Bertram, 2008. Asset pricing under information with stochastic volatility | eng |
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| kops.description.openAccess | openaccessgreen | |
| kops.identifier.nbn | urn:nbn:de:bsz:352-opus-116757 | deu |
| kops.opus.id | 11675 | deu |
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