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An Equilibrium Guide To Designing Affine Pricing Models

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  • Bjørn Eraker
  • Ivan Shaliastovich
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    Bibliographic Info

    Article provided by Wiley Blackwell in its journal Mathematical Finance.

    Volume (Year): 18 (2008)
    Issue (Month): 4 ()
    Pages: 519-543

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    Handle: RePEc:bla:mathfi:v:18:y:2008:i:4:p:519-543

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    Cited by:
    1. Sang Byung Seo & Jessica A. Wachter, 2013. "Option Prices in a Model with Stochastic Disaster Risk," NBER Working Papers 19611, National Bureau of Economic Research, Inc.
    2. repec:wyi:journl:002192 is not listed on IDEAS
    3. Jerry Tsai & Jessica A. Wachter, 2014. "Rare Booms and Disasters in a Multi-sector Endowment Economy," NBER Working Papers 20062, National Bureau of Economic Research, Inc.
    4. Shaliastovich, Ivan & Tauchen, George, 2011. "Pricing of the time-change risks," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 843-858, June.
    5. Ravi Bansal & Ivan Shaliastovich, 2010. "Confidence Risk and Asset Prices," American Economic Review, American Economic Association, vol. 100(2), pages 537-41, May.
    6. Jianjian Jin, 2013. "Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics," Working Papers 13-12, Bank of Canada.
    7. Ravi Bansal & Dana Kiku & Amir Yaron, 2009. "An Empirical Evaluation of the Long-Run Risks Model for Asset Prices," NBER Working Papers 15504, National Bureau of Economic Research, Inc.
    8. Benzoni, Luca & Collin-Dufresne, Pierre & Goldstein, Robert S., 2011. "Explaining asset pricing puzzles associated with the 1987 market crash," Journal of Financial Economics, Elsevier, vol. 101(3), pages 552-573, September.
    9. David Backus & Mikhail Chernov & Stanley Zin, 2014. "Sources of Entropy in Representative Agent Models," Journal of Finance, American Finance Association, vol. 69(1), pages 51-99, 02.
    10. Larry G. Epstein & Shaolin Ji, 2012. "Ambiguous Volatility and Asset Pricing in Continuous Time," CIRANO Working Papers 2012s-29, CIRANO.
    11. Bjørn Eraker, 2013. "The performance of model based option trading strategies," Review of Derivatives Research, Springer, vol. 16(1), pages 1-23, April.
    12. Bryan Kelly & Hao Jiang, 2013. "Tail Risk and Asset Prices," NBER Working Papers 19375, National Bureau of Economic Research, Inc.
    13. Anh Le & Kenneth J. Singleton, 2010. "An Equilibrium Term Structure Model with Recursive Preferences," American Economic Review, American Economic Association, vol. 100(2), pages 557-61, May.
    14. Ravi Bansal & Dana Kiku & Ivan Shaliastovich & Amir Yaron, 2012. "Volatility, the Macroeconomy and Asset Prices," NBER Working Papers 18104, National Bureau of Economic Research, Inc.

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