Option Valuation with Systematic Stochastic Volatility
扩展了Rubinstein和Brennan的均衡框架，推导出当股票收益波动率既随机又具有系统性时的期权定价公式，该公式可写成无偏好形式，并涵盖许多现有公式作为特例。
We use an extension of the equilibrium framework of Rubinstein (1976) and Brennan (1979) to derive an option valuation formula when the stock return volatility is both stochastic and systematic. Our formula incorporates a stochastic volatility process as well as a stochastic interest rate process in the valuation of options. If the “mean,” volatility, and “covariance” processes for the stock return and the consumption growth are predictable, our option valuation formula can be written in “preference-free” form. Further, many popular option valuation formulae in the literature can be written as special cases of our general formula.