AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS

DOI10.1111/j.1467-9965.2008.00346.xzbMath1214.91147OpenAlexW2109300155MaRDI QIDQ3005841

Ivan Shaliastovich, Bjørn Eraker

Publication date: 9 June 2011

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://repository.upenn.edu/cgi/viewcontent.cgi?article=1113&context=fnce_papers

zbMATH Keywords

option pricingrecursive utilityasset-pricing modelvolatility risks

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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