Titlebook: Economic Foundation of Asset Price Processes; Erik Lüders Book 2004 Springer-Verlag Berlin Heidelberg 2004 Arbitrage.Asset Pricing.Financi

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填料

978-3-7908-0149-1Springer-Verlag Berlin Heidelberg 2004

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Asset Returns Given Stochastic Volatility of the Information Process,ne-factor framework may be too simple to characterise asset returns Moreover, it seems fruitful to see the effect a second risk factor driving the information process might have on return characteristics. . In Chap 3 we have seen that it is quite sensible to assume that the volatility of the information process is stochastic.

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Economic Foundation of Asset Price Processes978-3-7908-2660-9Series ISSN 1615-6781 Series E-ISSN 1867-2027

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Automotive Systems Engineering IIretical literature, including the seminal Capital Asset Pricing Model, and of empirical research we still lack a sound understanding of what drives asset prices. Since the article of Black and Scholes in 1973 on the pricing of options the geometric Brownian motion might be considered the predominant