EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION

DOI10.1111/j.1467-9965.2010.00468.xzbMath1278.91069OpenAlexW2145008783MaRDI QIDQ4906526

Huimin Zhao, Jin E. Zhang, Eric C. Chang

Publication date: 28 February 2013

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

Full work available at URL: http://hdl.handle.net/10722/138310

zbMATH Keywords

asset pricingoption pricingjump diffusionvariance risk premiumequity risk premium

Mathematics Subject Classification ID

Related Items (9)

Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion ⋮ Equilibrium variance risk premium in a cost-free production economy ⋮ Bond and option pricing for interest rate model with clustering effects ⋮ Dynamic optimal hedge ratio design when price and production are stochastic with jump ⋮ Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility ⋮ Optimal portfolio selection of mean-variance utility with stochastic interest rate ⋮ EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE ⋮ Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model ⋮ Equilibrium asset and option pricing under jump-diffusion model with stochastic volatility

Cites Work

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• An Intertemporal General Equilibrium Model of Asset Prices
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• Option Pricing With V. G. Martingale Components¹
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Stochastic Volatility for Lévy Processes
• Option pricing when underlying stock returns are discontinuous
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
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