Fu, Jun; Yang, Hailiang - In: European Journal of Operational Research 223 (2012) 3, pp. 701-708
This work considers the equilibrium approach of asset pricing for Lévy process. It derives the equity premium and … pricing kernel analytically for the stock price process, obtains an equilibrium option pricing formula, and explains some … equilibrium pricing under jump diffusion models, this work models the underlying asset price as the exponential of a Lévy process …