Equilibrium approach of asset pricing under Lévy process
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Publication:2253386
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Cites work
- A SHOT NOISE MODEL FOR FINANCIAL ASSETS
- An Intertemporal General Equilibrium Model of Asset Prices
- MaxVaR with non-Gaussian distributed returns
- Option pricing when underlying stock returns are discontinuous
- Processes of normal inverse Gaussian type
- Real (investment) options with multiple sources of rare events
- Statistical properties and economic implications of jump-diffusion processes with shot-noise effects
- The Variance Gamma Process and Option Pricing
Cited in
(22)- Equilibrium variance risk premium in a cost-free production economy
- Representative agent pricing of financial assets based on Lévy processes with normal inverse Gaussian marginals
- Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
- Equilibrium valuation of currency options with stochastic volatility and systemic co-jumps
- Equilibrium asset and option pricing under jump-diffusion model with stochastic volatility
- Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model
- Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Lévy jumps
- Pricing and risk management of interest rate swaps
- Determination of the Lévy exponent in asset pricing models
- An equilibrium approach of asset pricing under stochastic volatility jump-diffusion process with ``correlated jump
- A dynamic equilibrium model for U-shaped pricing kernels
- Bond and option pricing for interest rate model with clustering effects
- First steps towards an equilibrium theory for Lévy financial markets
- Equilibrium asset and option pricing under jump diffusion
- Locally risk-minimizing hedging for European contingent claims written on non-tradable assets with common jump risk
- Equilibrium valuation of currency options under a discontinuous model with co-jumps
- EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE
- Pricing of the time-change risks
- An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis
- Multivariate Lévy models: calibration and pricing
- Time-consistent asset allocation for risk measures in a Lévy market
- Spectral risk measure of holding stocks in the long run
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