Arbeitspapier
Asset pricing under information with stochastic volatility
Based on a general specification of the asset speci?c 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: CoFE Discussion Paper ; No. 08/04
- Klassifikation
-
Wirtschaft
- Thema
-
Pricing kernel
stochastic volatility
asset pricing
option pricing
credit spreads
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Düring, Bertram
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Konstanz, Center of Finance and Econometrics (CoFE)
- (wo)
-
Konstanz
- (wann)
-
2008
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-116757
- Letzte Aktualisierung
- 10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Düring, Bertram
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Entstanden
- 2008
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