Asset pricing under information with stochastic volatility


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DÜRING, Bertram, 2008. Asset pricing under information with stochastic volatility

@techreport{During2008Asset-12176, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Asset pricing under information with stochastic volatility}, year={2008}, number={2008/04}, author={Düring, Bertram} }

<rdf:RDF xmlns:rdf="" xmlns:bibo="" xmlns:dc="" xmlns:dcterms="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dcterms:title>Asset pricing under information with stochastic volatility</dcterms:title> <dc:rights>deposit-license</dc:rights> <dcterms:rights rdf:resource=""/> <dc:date rdf:datatype="">2011-03-25T09:43:14Z</dc:date> <dc:language>eng</dc:language> <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> <bibo:uri rdf:resource=""/> <dc:creator>Düring, Bertram</dc:creator> <dcterms:available rdf:datatype="">2011-03-25T09:43:14Z</dcterms:available> <dc:contributor>Düring, Bertram</dc:contributor> <dcterms:issued>2008</dcterms:issued> <dc:format>application/pdf</dc:format> </rdf:Description> </rdf:RDF>

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cofe_dp08_04.pdf 79

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