A NOTE ON THE RISK-PREMIUM PROCESS IN AN EQUILIBRIUM

DOI10.1142/S0219024908005007zbMath1185.91098OpenAlexW2073514200MaRDI QIDQ3606400

Jun Sekine

Publication date: 26 February 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024908005007

zbMATH Keywords

equilibriumvolatilityasset price processrelative risk aversion coefficientrisk-premium

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• The Malliavin Calculus and Related Topics
• The Malliavin calculus and its application to second order parabolic differential equations: Part I
• Complete Models with Stochastic Volatility
• Unnamed Item

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