Theoretical Economics Letters

Vol.2 No.4(2012), Paper ID 24239, 8 pages

DOI:10.4236/tel.2012.24074

 

Joint Characteristic Function of Stock Log-Price and Squared Volatility in the Bates Model and Its Asset Pricing Applications

 

Oleksandr Zhylyevskyy

 

Department of Economics, Iowa State University, Ames, USA

 

Copyright © 2012 Oleksandr Zhylyevskyy et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article

Zhylyevskyy, O. (2012) Joint Characteristic Function of Stock Log-Price and Squared Volatility in the Bates Model and Its Asset Pricing Applications. Theoretical Economics Letters, 2, 400-407. doi: 10.4236/tel.2012.24074.
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