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#### The Life Cycle Model with Recursive Utility: New insights on optimal consumption

(Discussion papers;19/14, Working paper, 2014-05)

We analyze optimal consumption, including pensions, during the life time of a consumer using the life cycle model, when the consumer has recursive utility. The model framework is that of continuous-time with diffusion ...

#### Recursive utility and jump-diffusions

(Discussion paper;09/14, Working paper, 2014-03)

We derive the equilibrium interest rate and risk premiums using
recursive utility for jump-di usions. Compared to to the continuous
version, including jumps allows for a separate risk aversion related to
jump size risk ...

#### Heterogeniety and limited stock market participation

(Discussion paper;05/14, Working paper, 2014-02)

We derive the equilibrium interest rate and risk premiums using
recursive utility with heterogeneity in a continuous time model. Two
ordinally equivalent versions are considered, each associated with a
di erent set of ...

#### Life insurance and pension contracts I : the time additive life cycle model

(Discussion paper;13/14, Working paper, 2014-03)

We analyze optimal consumption in the life cycle model by intro-
ducing life and pension insurance contracts. The model contains a
credit market with biometric risk, and market risk via risky securi-
ties. This idealized ...

#### Negative volatility and the survival of the western financial markets

(Discussion paper2004:5, Working paper, 2004-01)

The paper discusses situations where certain parameters are given values that are outside their natural ranges. One case is obtained when plugging in a negative value for the volatility parameter in the Black and Scholes ...

#### Using option pricing theory to infer about equity premiums

(Discussion paper2005:11, Working paper, 2005-11)

In this paper we make use of option pricing theory to infer about historical equity premiums. This we do by comparing the prices of an American perpetual put option computed using two different models: The first is the ...

#### Area yield futures and options : risk management and hedging

(Discussion paper2002:22, Working paper, 2002)

Suppose there exists a market for yield futures contracts as well as ordinary futures contracts for price. Intuitively one would think that a combined use of yield contracts and and futures price contracts ought to provide ...

#### A pricing model for yield contracts

(Discussion paper2002:23, Working paper, 2002)

An economic model is proposed for a combined price futures and yield futures market. The innovation of the paper is a technique of transforming from quantity and price to a model of two genuine pricing processes. This is ...

#### A pricing model for yield contracts

(Discussion paper1999:4, Working paper, 2002)

An economic model is proposed for the analysis of quantum and revenue hedges, and prices of contingent claims on revenue and quantum are presented and discussed. In particular we discuss how one can use futures, and futures ...

#### Area yield futures and options : risk management and hedging

(Discussion paper2001:5, Working paper, 2001)

It is shown how a farmer can lock in a certain revenue by a combined trade in futures price and futures yield contracts, abstracting from production
costs. An economic model is proposed for a combined price futures and ...