AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS
From MaRDI portal
Publication:3005841
DOI10.1111/j.1467-9965.2008.00346.xzbMath1214.91147OpenAlexW2109300155MaRDI QIDQ3005841
Ivan Shaliastovich, Bjørn Eraker
Publication date: 9 June 2011
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://repository.upenn.edu/cgi/viewcontent.cgi?article=1113&context=fnce_papers
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
Pricing long-lived securities in dynamic endowment economies, A dynamic equilibrium model for U-shaped pricing kernels, Level and slope of volatility smiles in long-run risk models, Semiparametric estimation of latent variable asset pricing models, Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information, The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices, Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors, The dynamic power law model, Learning, confidence, and option prices, Asset prices in affine real business cycle models, Pricing of the time-change risks
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Empirical assessment of an intertemporal option pricing model with latent variables.
- Optimal consumption and portfolio selection with stochastic differential utility
- Post-'87 crash fears in the S\&P 500 futures option market
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- Affine General Equilibrium Models
- Stochastic Differential Utility
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Equilibrium Pricing in the Presence of Cumulative Dividends Following a Diffusion
