An equilibrium asset pricing model based on Lévy processes: relations to stochastic volatility, and the survival hypothesis-Reference-Cited by-同舟云学术

An equilibrium asset pricing model based on Lévy processes: relations to stochastic volatility, and the survival hypothesis

Published:2000-12 Issue:3 Volume:27 Page:345-363
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Aase Knut K.

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference45 articles.

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4. Option valuation with systematic stochastic volatility;Amin;Journal of Finance,1993

5. Stochastic autoregressive volatility: a framework for volatility modeling;Andersen;Mathematical Finance,1994

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