• Recursive utility and jump-diffusions 

      Aase, Knut K. (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 

      Aase, Knut K. (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 ...