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https://hdl.handle.net/10419/32164
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Düring, Bertram | en |
dc.date.accessioned | 2009-09-17 | - |
dc.date.accessioned | 2010-05-14T12:00:35Z | - |
dc.date.available | 2010-05-14T12:00:35Z | - |
dc.date.issued | 2008 | - |
dc.identifier.pi | urn:nbn:de:bsz:352-opus-116757 | en |
dc.identifier.uri | http://hdl.handle.net/10419/32164 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aUniversity of Konstanz, Center of Finance and Econometrics (CoFE) |cKonstanz | en |
dc.relation.ispartofseries | |aCoFE Discussion Paper |x08/04 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Pricing kernel | en |
dc.subject.keyword | stochastic volatility | en |
dc.subject.keyword | asset pricing | en |
dc.subject.keyword | option pricing | en |
dc.subject.keyword | credit spreads | en |
dc.title | Asset pricing under information with stochastic volatility | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 608951757 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:cofedp:0804 | - |
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