Representative agent pricing of financial assets based on Lévy processes with normal inverse Gaussian marginals (Q1854734)

A partial equillibrium comsumption-based pricing model is analyzed, where the returns submit a normal inverse Gaussian distribution which is found promising in fitting with the real asset return. The modelling is given by constructing a partial equillibrium model with a representative agent and an Levy aggregate comsumption processes submiting an inverse Gaussian distribution at each time \(t\). Then the equillibrium pricing of the Europian call option, futures, forward contract and the equillibrium risk premium are given. This paper is a continuation of a systematic work on the related topic of the author.