Resource title

Asset Prices and Alternative Characterizations of the Pricing Kernel

Resource image

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Resource description

In a continuous-time representative investor economy with an exogenously given information process, asset prices are derived for alternative characterizations of the pricing kernel. In addition to the characterization of forward prices in a general representative investor economy a detailed analysis of forward prices for the HARA-class is given. In particular, analytical and numerical solutions of forward prices are derived for a representative investor with non-constant relative risk aversion. The derived asset prices are consistent with empirically well documented characteristics as mean reversion and random volatility. Hence, they are viable alternatives to the geometric Brownian motion.

Resource author

Erik L├╝ders

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/24796

Resource license

Adapt according to the presented license agreement and reference the original author.