Smooth ambiguity preferences and asset prices with a jump-diffusion process

DOI10.1080/14697688.2021.2016922MaRDI QIDQ5079378zbMATH OpenOpenAlexFDO

Authors Masataka Suzuki

Publication date 27 May 2022

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2021.2016922

zbMATH Keywords

asset pricingimplied volatilityjump-diffusion processsmooth ambiguity preferencesvariance premium

Mathematics Subject Classification ID

Jump processes on discrete state spaces (60J74) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Ambiguity, learning, and asset returns
• Asset pricing under smooth ambiguity in continuous time
• Asset prices in an ambiguous economy
• Can ambiguity about rare disasters explain equity premium puzzle?
• Equilibrium asset and option pricing under jump diffusion

Cites work

• A Smooth Model of Decision Making under Ambiguity
• Ambiguity, learning, and asset returns
• Continuous-time security pricing. A utility gradient approach
• Continuous-time smooth ambiguity preferences
• Finding generators for Markov chains via empirical transition matrices, with applications to credit ratings
• scientific article; zbMATH DE number 1546853 (Why is no real title available?)
• Intertemporal substitution and recursive smooth ambiguity preferences
• Maxmin expected utility with non-unique prior
• Rare disasters and asset markets in the twentieth century
• Recursive smooth ambiguity preferences
• Risk, ambiguity and the Savage axioms
• Robust consumption and portfolio policies when asset prices can jump
• Stochastic Differential Utility
• Structured ambiguity and model misspecification
• Variable rare disasters: an exactly solved framework for ten puzzles in macro-finance

Cited in

(2)

• Asset pricing under smooth ambiguity in continuous time
• Can ambiguity about rare disasters explain equity premium puzzle?

This page was built for publication: Smooth ambiguity preferences and asset prices with a jump-diffusion process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5079378)