Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums
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
|
Subject: | Equilibrium asset pricing | Moment risk premiums | Moment swaps | Lévy process | Stochastic volatility | Stochastischer Prozess | Stochastic process | Risikoprämie | Risk premium | Volatilität | Volatility | CAPM | Optionspreistheorie | Option pricing theory | Swap |
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