Recommendations
- Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Lévy jumps
- Equilibrium approach of asset pricing under Lévy process
- AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS
- Variance swaps on time-changed Lévy processes
- An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis
Cites work
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- A note on some limitations of CRRA utility
- AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS
- Asset pricing with incomplete information and fat tails
- Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns
- Consumption-based asset pricing with higher cumulants
- Financial Modelling with Jump Processes
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
- Learning, confidence, and option prices
- Long-Term Risk: An Operator Approach
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Rare disasters and asset markets in the twentieth century
- Stochastic Clock and Financial Markets
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Temporal Resolution of Uncertainty and Dynamic Choice Theory
- The impact of fat tails on equilibrium rates of return and term premia
- The market for crash risk
- Time changes for Lévy processes
Cited in
(3)
This page was built for publication: Pricing of the time-change risks
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q543799)
