Equilibrium approach of asset pricing under Lévy process

DOI10.1016/J.EJOR.2012.06.037zbMath1292.91073OpenAlexW1981539687MaRDI QIDQ2253386

Hailiang Yang, Jun Fu

Publication date: 27 July 2014

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2012.06.037

zbMATH Keywords

Lévy processpricingvariance risk premiumequity risk premiumequilibrium approach

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (10)

Spectral risk measure of holding stocks in the long run ⋮ Equilibrium variance risk premium in a cost-free production economy ⋮ 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 ⋮ Bond and option pricing for interest rate model with clustering effects ⋮ EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE ⋮ 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 ⋮ Pricing and risk management of interest rate swaps ⋮ Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model

Cites Work

• Statistical properties and economic implications of jump-diffusion processes with shot-noise effects
• Processes of normal inverse Gaussian type
• MaxVaR with non-Gaussian distributed returns
• A SHOT NOISE MODEL FOR FINANCIAL ASSETS
• An Intertemporal General Equilibrium Model of Asset Prices
• The Variance Gamma Process and Option Pricing
• Option pricing when underlying stock returns are discontinuous
• Real (investment) options with multiple sources of rare events

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