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An equilibrium asset pricing model based on Lévy processes: relations to stochastic volatility, and the survival hypothesis

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  • Aase, Knut K.

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Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 27 (2000)
Issue (Month): 3 (December)
Pages: 345-363

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Handle: RePEc:eee:insuma:v:27:y:2000:i:3:p:345-363

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Web page: http://www.elsevier.com/locate/inca/505554

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References

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  1. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, Econometric Society, vol. 46(6), pages 1429-45, November.
  2. Stein, Elias M & Stein, Jeremy C, 1991. "Stock Price Distributions with Stochastic Volatility: An Analytic Approach," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 4(4), pages 727-52.
  3. Rietz, Thomas A., 1988. "The equity risk premium a solution," Journal of Monetary Economics, Elsevier, Elsevier, vol. 22(1), pages 117-131, July.
  4. Stephen J. Taylor, 1994. "Modeling Stochastic Volatility: A Review And Comparative Study," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 4(2), pages 183-204.
  5. Naik, Vasanttilak & Lee, Moon, 1990. "General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 3(4), pages 493-521.
  6. R. Mehra & E. Prescott, 2010. "The equity premium: a puzzle," Levine's Working Paper Archive 1401, David K. Levine.
  7. Back, Kerry, 1991. "Asset pricing for general processes," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 20(4), pages 371-395.
  8. Amin, Kaushik I & Ng, Victor K, 1993. " Option Valuation with Systematic Stochastic Volatility," Journal of Finance, American Finance Association, American Finance Association, vol. 48(3), pages 881-910, July.
  9. Norbert Hofmann & Eckhard Platen & Martin Schweizer, 1992. "Option Pricing Under Incompleteness and Stochastic Volatility," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 2(3), pages 153-187.
  10. Hindy, Ayman & Huang, Chi-fu & Zhu, Steven H., 1997. "Optimal consumption and portfolio rules with durability and habit formation," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 21(2-3), pages 525-550.
  11. Hart, Oliver D., 1975. "On the optimality of equilibrium when the market structure is incomplete," Journal of Economic Theory, Elsevier, Elsevier, vol. 11(3), pages 418-443, December.
  12. Hindy, Ayman & Huang, Chi-fu, 1993. "Optimal Consumption and Portfolio Rules with Durability and Local Substitution," Econometrica, Econometric Society, Econometric Society, vol. 61(1), pages 85-121, January.
  13. Shlomo Benartzi & Richard H. Thaler, 1993. "Myopic Loss Aversion and the Equity Premium Puzzle," NBER Working Papers 4369, National Bureau of Economic Research, Inc.
  14. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, American Finance Association, vol. 42(2), pages 281-300, June.
  15. G. Constantinides, 1990. "Habit formation: a resolution of the equity premium puzzle," Levine's Working Paper Archive 1397, David K. Levine.
  16. Jin-Chuan Duan, 1995. "The Garch Option Pricing Model," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 5(1), pages 13-32.
  17. Aase, Knut K., 1993. "Continuous trading in an exchange economy under discontinuous dynamics: A resolution of the equity premium puzzle," Scandinavian Journal of Management, Elsevier, Elsevier, vol. 9(Supplemen), pages S3-S28.
  18. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  19. Ball, Clifford A. & Roma, Antonio, 1994. "Stochastic Volatility Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 29(04), pages 589-607, December.
  20. Rubinstein, Mark, 1974. "An aggregation theorem for securities markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 1(3), pages 225-244, September.
  21. Knut K. Aase, 1993. "A Jump/Diffusion Consumption-Based Capital Asset Pricing Model and the Equity Premium Puzzle," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 3(2), pages 65-84.
  22. Naik, Vasanttilak, 1993. " Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 48(5), pages 1969-84, December.
  23. Detemple, Jerome B & Zapatero, Fernando, 1991. "Asset Prices in an Exchange Economy with Habit Formation," Econometrica, Econometric Society, Econometric Society, vol. 59(6), pages 1633-57, November.
  24. McCulloch, J Huston, 1978. "Continuous Time Processes with Stable Increments," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 51(4), pages 601-19, October.
  25. Wiggins, James B., 1987. "Option values under stochastic volatility: Theory and empirical estimates," Journal of Financial Economics, Elsevier, Elsevier, vol. 19(2), pages 351-372, December.
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Cited by:
  1. Sinha, Pankaj & Jayaraman, Prabha, 2009. "Bayes reliability measures of Lognormal and inverse Gaussian distributions under ML-II ε-contaminated class of prior distributions," MPRA Paper 16528, University Library of Munich, Germany.
  2. Sinha, Pankaj & Jayaraman, Prabha, 2009. "Robustness of Bayesian results for Inverse Gaussian distribution under ML-II epsilon-contaminated and Edgeworth Series class of prior distributions," MPRA Paper 15396, University Library of Munich, Germany.

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