EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION (Q4906526): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2145008783 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Theory of Volatility Spreads / rank
 
Normal rank
Property / cites work
 
Property / cites work: The market for crash risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: An intertemporal asset pricing model with stochastic consumption and investment opportunities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Volatility for Lévy Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: An Intertemporal General Equilibrium Model of Asset Prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Transform Analysis and Asset Pricing for Affine Jump-diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hyperbolic distributions in finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4481937 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3374320 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: The cumulant process and Esscher's change of measure / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Jump-Diffusion Model for Option Pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asset Prices in an Exchange Economy / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option Pricing With V. G. Martingale Components<sup>1</sup> / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing when underlying stock returns are discontinuous / rank
 
Normal rank
Property / cites work
 
Property / cites work: The implied volatility smirk / rank
 
Normal rank

Latest revision as of 06:11, 6 July 2024

scientific article; zbMATH DE number 6139580
Language Label Description Also known as
English
EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION
scientific article; zbMATH DE number 6139580

    Statements

    EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION (English)
    0 references
    0 references
    0 references
    0 references
    28 February 2013
    0 references
    asset pricing
    0 references
    option pricing
    0 references
    jump diffusion
    0 references
    equity risk premium
    0 references
    variance risk premium
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references