Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/32164
Authors: 
Düring, Bertram
Year of Publication: 
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
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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