Equilibrium asset pricing: with non-Gaussian factors and exponential utilities
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Publication:3437403
DOI10.1080/14697680600804437zbMath1134.91448OpenAlexW3121651384MaRDI QIDQ3437403
Publication date: 9 May 2007
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680600804437
Related Items (8)
General theory of geometric Lévy models for dynamic asset pricing ⋮ Modeling high-frequency financial data by pure jump processes ⋮ Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition ⋮ Mixed tempered stable distribution ⋮ Three Non-Gaussian Models of Dependence in Returns ⋮ Portfolio choice with jumps: a closed-form solution ⋮ Testing for pure-jump processes for high-frequency data ⋮ Unbounded liabilities, capital reserve requirements and the taxpayer put option
Cites Work
- Processes of normal inverse Gaussian type
- Hyperbolic distributions in finance
- Financial Data and the Skewed Generalized T Distribution
- Portfolio Selection and Asset Pricing—Three-Parameter Framework
- Option Pricing With V. G. Martingale Components1
- A risky asset model with strong dependence through fractal activity time
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