@techreport{During2008Asset,
abstract = {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.},
address = {Konstanz},
author = {Bertram D\"{u}ring},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {330; Pricing kernel; stochastic volatility; asset pricing; option pricing; credit spreads},
language = {eng},
number = {2008,04},
publisher = {CoFE},
title = {Asset pricing under information with stochastic volatility},
type = {Discussion paper series // Zentrum f\"{u}r Finanzen und \"{O}konometrie, Universit\"{a}t Konstanz},
url = {http://hdl.handle.net/10419/32164},
year = {2008}
}
