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math.PR2008★ 8 cited
Skewness Premium with Lévy Processes
José Fajardo, Ernesto Mordecki
We study the skewness premium (SK) introduced by Bates (1991) in a general context using Lévy Processes. Under a symmetry condition Fajardo and Mordecki (2006) obtain that SK is gi…
q-fin.PR2008★ 1 cited
On Equilibrium Prices in Continuous Time
V. Filipe Martins-da-Rocha, Frank Riedel
We combine general equilibrium theory and theorie generale of stochastic processes to derive structural results about equilibrium state prices.