Stochastic idiosyncratic cash flow risk and real options: implications for stock returns
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Publication:508411
DOI10.1016/j.jet.2016.11.005zbMath1400.91642OpenAlexW3121762229MaRDI QIDQ508411
Harjoat S. Bhamra, Kyung Hwan Shim
Publication date: 10 February 2017
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10044/1/42733
asset pricingstochastic volatilityreal optionsregime-switchingmixed jump-diffusionstock return and idiosyncratic volatility
Applications of statistics to actuarial sciences and financial mathematics (62P05) Corporate finance (dividends, real options, etc.) (91G50)
Cites Work
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- Option pricing when underlying stock returns are discontinuous
- Common risk factors in the returns on stocks and bonds
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