On the Relationship of Information Processes and Asset Price Processes

Lüders, Erik; Peisl, Bernhard

On the Relationship of Information Processes and Asset Price Processes

Dateien

423_1.pdfGröße: 208.51 KBDownloads: 69

Datum

2000

Autor:innen

Lüders, Erik

Peisl, Bernhard

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Wirtschaftswissenschaften

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

Zusammenfassung

Asset price processes are completely described by information processes and investors´ preferences. In this paper we derive the relationship between the process of investors´ expectations of the terminal stock price and asset prices in a general continuous time pricing kernel framework. To derive the asset price process we make use of the modern technique of forward-backward stochastic differential equations. With this approach it is possible to show the driving factors for stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that stylized facts that look at first hand like financial market anomalies may be explained by an information process with stochastic volatility.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

backward stochastic differential equations, information processes, pricing kernel

Zitieren

ISO 690

LÜDERS, Erik, Bernhard PEISL, 2000. On the Relationship of Information Processes and Asset Price Processes

BibTex

@techreport{Luders2000Relat-12091,
  year={2000},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={On the Relationship of Information Processes and Asset Price Processes},
  number={2000/09},
  author={Lüders, Erik and Peisl, Bernhard}
}

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