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Universität Konstanz >
Center of Finance and Econometrics (CoFE), Universität Konstanz >
CoFE-Diskussionspapiere, Universität Konstanz >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/32164
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Düring, Bertram | | en_US |
| dc.date.accessioned | | 2009-09-17 | | en_US |
| dc.date.accessioned | | 2010-05-14T12:00:35Z | | - |
| dc.date.available | | 2010-05-14T12:00:35Z | | - |
| dc.date.issued | | 2008 | | en_US |
| 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_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | CoFE Konstanz | | en_US |
| dc.relation.ispartofseries | | Discussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz 2008,04 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Pricing kernel | | en_US |
| dc.subject.keyword | | stochastic volatility | | en_US |
| dc.subject.keyword | | asset pricing | | en_US |
| dc.subject.keyword | | option pricing | | en_US |
| dc.subject.keyword | | credit spreads | | en_US |
| dc.title | | Asset pricing under information with stochastic volatility | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 608951757 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | CoFE-Diskussionspapiere, Universität Konstanz
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