Continuous equilibrium under base preferences and attainable initial endowments
Year of publication: |
2011
|
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Authors: | Horst, Ulrich ; Kupper, Michael ; Macrina, Andrea ; Mainberger, Christoph |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | Optionspreistheorie | Kapitalmarkttheorie | Wertpapierhandel | Gleichgewicht | Capital Asset Pricing Model | Volatilität | Theorie | continuous-time equilibrium | CAPM | affine processes | information-based asset pricing | implied volatility |
Series: | SFB 649 Discussion Paper ; 2011-082 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 675479193 [GVK] hdl:10419/56695 [Handle] RePEc:zbw:sfb649:sfb649dp2011-082 [RePEc] |
Classification: | C62 - Existence and Stability Conditions of Equilibrium ; D52 - Incomplete Markets ; D53 - Financial Markets |
Source: |
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