Multifrequency jump-diffusions: An equilibrium approach
- 20 January 2008
- journal article
- Published by Elsevier BV in Journal of Mathematical Economics
- Vol. 44 (2), 207-226
- https://doi.org/10.1016/j.jmateco.2007.06.001
Abstract
No abstract availableKeywords
This publication has 57 references indexed in Scilit:
- Market clearing and derivative pricingEconomic Theory, 2005
- Risks for the Long Run: A Potential Resolution of Asset Pricing PuzzlesThe Journal of Finance, 2004
- An Empirical Investigation of Continuous‐Time Equity Return ModelsThe Journal of Finance, 2002
- Asymmetric Volatility and Risk in Equity MarketsThe Review of Financial Studies, 2000
- Post-'87 crash fears in the S&P 500 futures option marketJournal of Econometrics, 2000
- Empirical Performance of Alternative Option Pricing ModelsThe Journal of Finance, 1997
- Processes of normal inverse Gaussian typeFinance and Stochastics, 1997
- Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark OptionsThe Review of Financial Studies, 1996
- Stock prices under time-varying dividend risk: An exact solution in an infinite-horizon general equilibrium modelJournal of Monetary Economics, 1988
- On Jumps in Common Stock Prices and Their Impact on Call Option PricingThe Journal of Finance, 1985