A dynamic equilibrium model for U-shaped pricing kernels
Year of publication: |
May 2018
|
---|---|
Authors: | Yamazaki, Akira |
Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 5, p. 851-875
|
Subject: | Stock index | U-shaped pricing kernel | Stochastic activity rate | Aggregate consumption | Physical distribution | Risk-neutral distribution | Realized variance | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Aktienindex | CAPM | Statistische Verteilung | Statistical distribution | Volatilität | Volatility |
-
Bollerslev, Tim, (2014)
-
Göncü, Ahmet, (2016)
-
Equity index variance : evidence from flexible parametric jump-diffusion models
Kaeck, Andreas, (2017)
- More ...
-
The number of blocking coalitions when relative size is restricted
Greenberg, Joseph, (1980)
-
Normal approximation theorem on the size distribution of "blocking" coalitions
Yamazaki, Akira, (1981)
-
Incentive efficient risk sharing in a settlement mechanism
Fujiki, Hiroshi, (2008)
- More ...