Risk-neutral economy and zero price of risk

DOI10.1007/S11579-013-0105-XzbMath1307.91121OpenAlexW1994839546MaRDI QIDQ468114

Oldrich Alfons Vasicek

Publication date: 6 November 2014

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-013-0105-x

zbMATH Keywords

term structure of interest ratesgeneral equilibriummarket price of riskdetermination of interest ratesexchange and production economiesrisk-neutrality

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) General equilibrium theory (91B50)

Cites Work

• An Intertemporal General Equilibrium Model of Asset Prices

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