English, Article, Journal or magazine article edition: Asset Pricing in a Two-Country Discontinuous General Equilibrium Model Ciprian Necula

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Bookmark: http://trove.nla.gov.au/version/198181
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Asset Pricing in a Two-Country Discontinuous General Equilibrium Model
Author
  • Ciprian Necula
Physical Description
  • preprint
Notes
  • The aim of this paper is to develop a framework for asset pricing in a continuous time general equilibrium model for a two country Lucas type economy. The model assumes that the output in the two countries follows a jump-diffusion stochastic process characterized by constant growth rates and volatilities and by log-normal amplitude of the jumps. Using this specification we deduce the fundamental evaluation equations for financial assets as well as a formula for the price of exchange rate options in this economy.
  • general equilibrium model, two-country Lucas economy, exchange rate, risk premium, jump-diffusion
  • RePEc:cab:wpaefr:24
Language
  • English
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