Review of Derivatives Research

, Volume 12, Issue 2, pp 141–167 | Cite as

Asset pricing under information with stochastic volatility

  • Bertram Düring


Based on a general specification of the asset specific pricing kernel, we develop a pricing model using an information process with stochastic volatility. We derive analytical asset and option pricing formulas. The asset prices in this rational expectations model exhibit crash-like, strong downward movements. The resulting option pricing formula is consistent with the strong negative skewness and high levels of kurtosis observed in empirical studies. Furthermore, we determine credit spreads in a simple structural model.


Pricing kernel Stochastic volatility Asset pricing Option pricing Credit spreads 

JEL Classifications

G12 G13 


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Copyright information

© Springer Science+Business Media, LLC 2009

Authors and Affiliations

  1. 1.Institut für Analysis und Scientific ComputingTechnische Universität WienWienAustria

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