EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION

DOI10.1111/j.1467-9965.2010.00468.xzbMath1278.91069MaRDI QIDQ4906526

Huimin Zhao, Jin E. Zhang, Eric C. Chang

Publication date: 28 February 2013

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

Full work available at URL: http://hdl.handle.net/10722/138310

zbMATH Keywords

asset pricing; option pricing; jump diffusion; variance risk premium; equity risk premium

Mathematics Subject Classification ID

60J60: Diffusion processes

91G20: Derivative securities (option pricing, hedging, etc.)

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