Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies

Journal of Financial Economics

Volumn 87, Issue 1, 2008, Pages 132-156

  Bakshi, Gurdip ^a   Carr, Peter ^b,c   Wu, Liuren ^d  

^a UNIVERSITY OF MARYLAND   (United States)

^b Bloomberg LP   (United States)

^c NEW YORK UNIVERSITY   (United States)

^d CITY UNIVERSITY OF NEW YORK   (United States)

Author keywords

Currency options; Foreign exchange rate dynamics; International economy; Stochastic discount factors; Stochastic risk premium; Stochastic skewness; Time changed L vy processes; Unscented Kalman filter

Indexed keywords

EID: 36849057641     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2006.12.001     Document Type: Article

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