Browsing NHH Brage by Subject "jump dynamics"
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Recursive utility and jump-diffusions
(Discussion paper;09/14, Working paper, 2014-03)We derive the equilibrium interest rate and risk premiums using recursive utility for jump-di usions. Compared to to the continuous version, including jumps allows for a separate risk aversion related to jump size risk ... -
Recursive utility and jump-diffusions
(Discussion paper;06/15, Working paper, 2015-01-30)We derive the equilibrium interest rate and risk premiums using recursive utility for jump-diffusions. Compared to to the continuous version, including jumps allows for a separate risk aversion related to jump size risk ...