A class of asset pricing models governed by subordinate processes that signal economic shocks

DOI10.1016/J.JEDC.2008.04.004zbMath1181.91073OpenAlexW2018660374MaRDI QIDQ2654429

Raj Jagannathan

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2008.04.004

zbMATH Keywords

stochastic volatilitystochastic interest raterisk premiumsubordinated processesforeign exchange marketsBrownian motion modelseconomic shock processincomplete/complete marketsmean reverting Itô processrisk-neutral process

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Cites Work

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• An Intertemporal General Equilibrium Model of Asset Prices
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous

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