Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/32164 
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dc.contributor.authorDüring, Bertramen
dc.date.accessioned2009-09-17-
dc.date.accessioned2010-05-14T12:00:35Z-
dc.date.available2010-05-14T12:00:35Z-
dc.date.issued2008-
dc.identifier.piurn:nbn:de:bsz:352-opus-116757en
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
dc.language.isoengen
dc.publisher|aUniversity of Konstanz, Center of Finance and Econometrics (CoFE) |cKonstanzen
dc.relation.ispartofseries|aCoFE Discussion Paper |x08/04en
dc.subject.ddc330en
dc.subject.keywordPricing kernelen
dc.subject.keywordstochastic volatilityen
dc.subject.keywordasset pricingen
dc.subject.keywordoption pricingen
dc.subject.keywordcredit spreadsen
dc.titleAsset pricing under information with stochastic volatility-
dc.type|aWorking Paperen
dc.identifier.ppn608951757en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cofedp:0804-

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