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For a continuous-time financial market with a single agent, we establish equilibrium pricing formulae under the assumption that the dividends follow an exponential Lévy process. The agent is allowed to consume a lump at the terminal date; before, only flow consumption is allowed. The agent's...
Persistent link: https://www.econbiz.de/10005002276
We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.
Persistent link: https://www.econbiz.de/10005002278
This paper establishes, in the setting of Brownian information, a general equilibrium existence result in a heterogeneous agent economy. The existence is generic among income distributions. Agents differ moreover in their stochastic differential formulation of intertemporal recursive utility....
Persistent link: https://www.econbiz.de/10009643125