Branger, Nicole; Schlag, Christian; Schneider, Eva - Universität <Münster, Westfalen> / Lehrstuhl für … - 2007
In this paper we perform a general equilibrium analysis when the dividend followsa jump-diffusion process with stochastic volatility, where both the dividend itselfand its volatility can jump. We work in a complete markets economy and assumethat agents have CRRA utility, but can differ with...