Equilibrium approach of asset and option pricing under Lévy process and stochastic volatility
This paper studies the equity premium and option pricing under the general equilibrium framework taking into account stochastic volatility. We establish analytical expressions for the equity premium and pricing kernel of the stock process. Moreover, the equilibrium option pricing formula is derived...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Published: |
Sage Publications
2017
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| Online Access: | http://hdl.handle.net/20.500.11937/54528 |