University of Sussex
Browse

File(s) not publicly available

Asset pricing under information with stochastic volatility

journal contribution
posted on 2023-06-07, 19:45 authored by Bertram Duering
Based on a general specification of the asset specific pricing kernel, we develop a pricing model using an information process with stochastic volatility. We derive analytical asset and option pricing formulas. The asset prices in this rational expectations model exhibit crash-like, strong downward movements. The resulting option pricing formula is consistent with the strong negative skewness and high levels of kurtosis observed in empirical studies. Furthermore, we determine credit spreads in a simple structural model.

History

Publication status

  • Published

Journal

Review of Derivatives Research

ISSN

1380-6645

Publisher

University of Konstanz

Issue

2

Volume

12

Page range

141-167

Department affiliated with

  • Mathematics Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2012-02-06

Usage metrics

    University of Sussex (Publications)

    Categories

    No categories selected

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC