Information structures and viable price systems
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Publication:1085024
DOI10.1016/0304-4068(85)90001-1zbMath0606.90012OpenAlexW1980450343MaRDI QIDQ1085024
Publication date: 1986
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1721.1/48179
Brownian motionstopping timedynamic modelItô processsurprisecapital/financial marketsviable price system
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A partial introduction to financial asset pricing theory. ⋮ Multiperiod security markets with differential information ⋮ Viable prices in financial markets with solvency constraints ⋮ Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability ⋮ On the fundamental theorem of asset pricing with an infinite state space ⋮ Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets ⋮ Optimal consumption and portfolio policies when asset prices follow a diffusion process ⋮ Dividends in the theory of derivative securities pricing ⋮ Arbitrage Values Generally Depend On A Parametric Rate of Return ⋮ Optimal Consumption‐Portfolio Policies With Habit Formation1 ⋮ A note on the terminal date security prices in a continuous time trading model with dividends ⋮ Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case ⋮ A TEST OF A GENERAL EQUILIBRIUM STOCK OPTION PRICING MODEL ⋮ Martingale densities for general asset prices ⋮ On the existence of sure profits via flash strategies ⋮ Pricing measures, forward measures and semigroups ⋮ Asset pricing for general processes ⋮ A variational problem arising in financial economics ⋮ Continuous-time security pricing. A utility gradient approach
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