A dynamic equilibrium model for U-shaped pricing kernels

DOI10.1080/14697688.2017.1388535zbMath1400.91621OpenAlexW2603340426MaRDI QIDQ4554467

Akira Yamazaki

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10114/13202

zbMATH Keywords

realized variancestock indexphysical distributionrisk-neutral distributionaggregate consumptionU-shaped pricing kernelstochastic activity rate

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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