Equilibrium approach of asset and option pricing under Lévy process and stochastic volatility

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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...

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Bibliographic Details
Main Authors:	Li, S., Zhou, Y., Wu, Yong Hong, Ge, X.
Format:	Journal Article
Published:	Sage Publications 2017
Online Access:	http://hdl.handle.net/20.500.11937/54528

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