Functional Stochastic Discount Factors in the Stochastic Volatility Model
The stochastic volatility model shows that certain stochastic discount factors can cause a bubble in wealth processes and derivatives, but not in stocks or risk-free bonds.
Featured in No. 31 on 3 Jan 2024 · 13 days after release · 0 citations today
- Released
- 21 Dec 2023
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- No. 31 · 3 Jan 2024
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- SSRN 4672635
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