Continuous equilibrium in affine and information-based capital asset pricing models
Ulrich Horst; Michael Kupper; Andrea Macrina; Christoph Mainberger
| Year of publication: |
2013
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|---|---|
| Authors: | Horst, Ulrich ; Kupper, Michael ; Macrina, Andrea ; Mainberger, Christoph |
| Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 9.2013, 4, p. 725-755
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| Subject: | Continuous-time equilibrium | Exponential utility | CAPM | Affine processes | Information-based asset pricing | Implied volatility | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Börsenkurs | Share price | Gleichgewichtstheorie | Equilibrium theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010196576