Publications in Scientific Journals:
"Asset pricing under information with stochastic volatility";
Review of Derivatives Research,
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.
s. engl. Abstract
Pricing kernel, stochastic volatility, asset pricing, option pricing, credit spreads
"Official" electronic version of the publication (accessed through its Digital Object Identifier - DOI)
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.