A class of asset pricing models governed by subordinate processes that signal economic shocks

DOI10.1016/J.JEDC.2008.04.004MaRDI QIDQ2654429zbMATH OpenOpenAlexFDO

Authors Raj Jagannathan

Publication date 19 January 2010

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2008.04.004

zbMATH Keywords

stochastic volatilityrisk premiumstochastic interest ratesubordinated processesforeign exchange marketsBrownian motion modelseconomic shock processincomplete/complete marketsrisk-neutral processmean reverting Itô process

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• An Intertemporal General Equilibrium Model of Asset Prices
• An equilibrium characterization of the term structure
• Option pricing when underlying stock returns are discontinuous
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(1)

• Electronic Foreign-Exchange Markets and Passage Events of Independent Subordinators

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