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dc.contributor.authorDüring, Bertramen_US
dc.date.accessioned2009-09-17en_US
dc.date.accessioned2010-05-14T12:00:35Z-
dc.date.available2010-05-14T12:00:35Z-
dc.date.issued2008en_US
dc.identifier.piurn:nbn:de:bsz:352-opus-116757-
dc.identifier.urihttp://hdl.handle.net/10419/32164-
dc.description.abstractBased 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.en_US
dc.language.isoengen_US
dc.publisherCoFE Konstanzen_US
dc.relation.ispartofseriesDiscussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz 2008,04en_US
dc.subject.ddc330en_US
dc.subject.keywordPricing kernelen_US
dc.subject.keywordstochastic volatilityen_US
dc.subject.keywordasset pricingen_US
dc.subject.keywordoption pricingen_US
dc.subject.keywordcredit spreadsen_US
dc.titleAsset pricing under information with stochastic volatilityen_US
dc.typeWorking Paperen_US
dc.identifier.ppn608951757en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:CoFE-Diskussionspapiere, Universität Konstanz

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