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http://hdl.handle.net/10419/32164
  
Title:Asset pricing under information with stochastic volatility PDF Logo
Authors:Düring, Bertram
Issue Date:2008
Series/Report no.:Discussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz 2008,04
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.
Subjects:Pricing kernel
stochastic volatility
asset pricing
option pricing
credit spreads
Persistent Identifier of the first edition:urn:nbn:de:bsz:352-opus-116757
Document Type:Working Paper
Appears in Collections:CoFE-Diskussionspapiere, Universität Konstanz

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