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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.

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.

Pricing kernel · stochastic volatility · asset pricing · option pricing · credit spreads

http://www.asc.tuwien.ac.at/preprint/2008/asc20x2008.pdf

Project Head Ansgar Jüngel:
Numerik und Modellierung nichtlinearer partieller Differentialgleichungen zur Beschreibung von Kredit- und Preisrisiken