An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis

DOI10.1016/S0167-6687(00)00057-3zbMath0994.91020MaRDI QIDQ5938035

Knut Kristian Aase

Publication date: 10 October 2002

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

equilibriumLévy processnormal inverse Gaussian distributionstochastic volatibilitysurvival of stock markets

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (1)

Models for stock returns

Cites Work

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