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

DOI10.1016/J.JEDC.2008.04.004zbMATH Open1181.91073OpenAlexW2018660374MaRDI QIDQ2654429FDOQ2654429

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

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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)

Cites Work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Title not available (Why is that?)
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure
• Title not available (Why is that?)
• Title not available (Why is that?)
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Option pricing when underlying stock returns are discontinuous
• An Intertemporal General Equilibrium Model of Asset Prices

Cited In (1)

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

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