Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums
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- 作者：Xinfeng Ruana ; b ; ruanxinf@gmail.com" class="auth_mail" title="E-mail the corresponding author ; Wenli Zhub ; Jiexiang Huangb ; Jin E. Zhanga
- 关键词：Equilibrium asset pricing ; Moment risk premiums ; Moment swaps ; Lé ; vy process ; Stochastic volatility
- 刊名：Economic Modelling
- 出版年：2016
- 出版时间：April 2016
- 年：2016
- 卷：54
- 期：Complete
- 页码：326-338
- 全文大小：417 K
文摘
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We build a general equilibrium model for asset pricing in a production economy.
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We identify the characteristics of the equity premium and the pricing kernel.
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We provide analytical formulas for moment swaps and moment risk premiums.
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We find that the variance risk premium and kurtosis risk premium are negative.
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We find that the risk-neutral skewness is more negative than the physical skewness.