A class of asset pricing models governed by subordinate processes that signal economic shocks (Q2654429)
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scientific article; zbMATH DE number 5660347
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A class of asset pricing models governed by subordinate processes that signal economic shocks |
scientific article; zbMATH DE number 5660347 |
Statements
A class of asset pricing models governed by subordinate processes that signal economic shocks (English)
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19 January 2010
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mean reverting Itô process
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stochastic volatility
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economic shock process
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risk premium
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stochastic interest rate
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risk-neutral process
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subordinated processes
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Brownian motion models
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foreign exchange markets
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incomplete/complete markets
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0.7376275658607483
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0.7256742715835571
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