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Considering a production economy with an arbitrary von-Neumann Morgenstern utility, this paper derives a general equilibrium relationship between the market prices of risks and market risk aversion under a continuous time stochastic volatility model completed by liquidly traded options....
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Considering a pure exchange economy with habit formation utility, this paper explores the equilibrium relationships between the market pricing kernel, the market prices of risks and the market risk aversion under a continuous time stochastic volatility model completed by liquidly traded put...
Persistent link: https://www.econbiz.de/10013143987
Considering a pure exchange economy with habit formation utility, this paper explores the equilibrium relationships between the market pricing kernel, the market prices of risks and the market risk aversion under a continuous time stochastic volatility model completed by liquidly traded put...
Persistent link: https://www.econbiz.de/10013144179
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