The intertemporal capital asset pricing model with returns that follow poisson jump-diffusion processes

Eric Bentzen, Peter Sellin

Research output: Working paperResearch

Original languageEnglish
Place of PublicationKøbenhavn
Number of pages26
Publication statusPublished - 2000

Cite this

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title = "The intertemporal capital asset pricing model with returns that follow poisson jump-diffusion processes",
keywords = "Asset pricing, CAPM",
author = "Eric Bentzen and Peter Sellin",
note = "Opstilling: 336.767 ben L{\o}be nr.: 0010833",
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language = "English",
type = "WorkingPaper",

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The intertemporal capital asset pricing model with returns that follow poisson jump-diffusion processes. / Bentzen, Eric; Sellin, Peter.

København, 2000.

Research output: Working paperResearch

TY - UNPB

T1 - The intertemporal capital asset pricing model with returns that follow poisson jump-diffusion processes

AU - Bentzen, Eric

AU - Sellin, Peter

N1 - Opstilling: 336.767 ben Løbe nr.: 0010833

PY - 2000

Y1 - 2000

KW - Asset pricing

KW - CAPM

M3 - Working paper

BT - The intertemporal capital asset pricing model with returns that follow poisson jump-diffusion processes

CY - København

ER -