Multifrequency jump-diffusions: An equilibrium approach

DOI10.1016/J.JMATECO.2007.06.001MaRDI QIDQ2469552zbMATH OpenOpenAlexFDO

Authors Laurent E. Calvet, Adlai J. Fisher

Publication date 6 February 2008

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL http://www.nber.org/papers/w12797.pdf

zbMATH Keywords

stochastic volatilitygeneral equilibriumMarkov regime-switchingfat tailsmultifrequencytime deformationendogenous jumpsvolatility component

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

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• Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets
• Forecasting multifractal volatility
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• Market clearing and derivative pricing
• Market clearing, utility functions, and securities prices
• Option pricing when underlying stock returns are discontinuous
• Post-'87 crash fears in the S\&P 500 futures option market
• Processes of normal inverse Gaussian type
• The Consumption-Based Capital Asset Pricing Model
• The Variance Gamma Process and Option Pricing
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Volatility comovement: a multifrequency approach

Cited in

(5)

• What is beneath the surface? Option pricing with multifrequency latent states
• Simple agent-based dynamical system models for efficient financial markets: theory and examples
• Incomplete financial markets and jumps in asset prices
• Asset allocation under multivariate regime switching
• Bad environments, good environments: a non-Gaussian asymmetric volatility model

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