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B. Düring:
"Asset pricing under information with stochastic volatility";
Review of Derivatives Research, 12 (2009), 2; 141 - 167.

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

http://dx.doi.org/10.1007/s11147-009-9031-8

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