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http://hdl.handle.net/10419/32164
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| Title: | | Asset pricing under information with stochastic volatility  |
| 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 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CoFE-Diskussionspapiere, Universität Konstanz
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