Multifrequency Jump-Diffusions: An Equilibrium Approach
收藏NBER2006-12-01 更新2025-01-04 收录
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https://www.nber.org/papers/w12797
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资源简介：
This paper proposes that equilibrium valuation is a powerful method to generate endogenous jumps in asset prices, which provides a structural alternative to traditional reduced-form specifications with exogenous discontinuities. We specify an economy with continuous consumption and dividend paths,
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美国国家经济研究局创建时间：
2006-12-01
