Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums
Xinfeng Ruan, Wenli Zhu, Jiexiang Huang, Jin E. Zhang
| Year of publication: |
April 2016
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|---|---|
| Authors: | Ruan, Xinfeng ; Zhu, Wenli ; Huang, Jiexiang ; Zhang, Jin E. |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 54.2016, p. 326-338
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| Subject: | Equilibrium asset pricing | Moment risk premiums | Moment swaps | Lévy process | Stochastic volatility | Risikoprämie | Risk premium | CAPM | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Swap |