IDEAS home Printed from https://ideas.repec.org/a/spr/annopr/v114y2002i1p15-3110.1023-a1021093615674.html
   My bibliography  Save this article

Representative Agent Pricing of Financial Assets Based on Lévy Processes with Normal Inverse Gaussian Marginals

Author

Listed:
  • Knut Aase

Abstract

The aim of the paper is to test the assumption of normal inverse Gaussian returns from speculative investments. We construct an asset pricing model where price processes are pure jump processes having associated returns with marginal distributions of this particular type. The resulting model is not complete, and we employ a partial equilibrium framework with a representative agent. The model is confronted with some stylized facts, like the equity premium puzzle, and the results seem promising. Copyright Kluwer Academic Publishers 2002

Suggested Citation

  • Knut Aase, 2002. "Representative Agent Pricing of Financial Assets Based on Lévy Processes with Normal Inverse Gaussian Marginals," Annals of Operations Research, Springer, vol. 114(1), pages 15-31, August.
    • Handle: RePEc:spr:annopr:v:114:y:2002:i:1:p:15-31:10.1023/a:1021093615674
    DOI: 10.1023/A:1021093615674
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1023/A:1021093615674
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1023/A:1021093615674?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:annopr:v:114:y:2002:i:1:p:15-31:10.1023/a:1021093615674. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.