Contributions to Books:
B. Düring:
"Asset pricing under information with stochastic volatility";
in: "ASC Report 20/2008",
issued by: Institute for Analysis and Scientific Computing;
Vienna University of Technology,
Wien,
2008,
ISBN: 978-3-902627-01-8.
English abstract:
Based on a general specification of the asset specific 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.
Keywords:
Pricing kernel · stochastic volatility · asset pricing · option pricing · credit spreads
Electronic version of the publication:
http://www.asc.tuwien.ac.at/preprint/2008/asc20x2008.pdf
Related Projects:
Project Head Ansgar Jüngel:
Numerik und Modellierung nichtlinearer partieller Differentialgleichungen zur Beschreibung von Kredit- und Preisrisiken
Created from the Publication Database of the Vienna University of Technology.