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AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS - MaRDI portal

AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS (Q3005841)

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AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS
scientific article

    Statements

    title
    AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS (English)
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    author
    Bjørn Eraker
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    Ivan Shaliastovich
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    publication date
    9 June 2011
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    zbMATH Keywords
    recursive utility
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    asset-pricing model
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    volatility risks
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    option pricing
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    Identifiers

    Mathematics Subject Classification ID
    91G80
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    91B25
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    91G20
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    zbMATH DE Number
    5905960
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    OpenAlex ID
    W2109300155
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