General equilibrium pricing with multiple dividend streams and regime switching

DOI10.1080/14697688.2014.974872zbMath1398.91697OpenAlexW1967596558MaRDI QIDQ4683085

Robert J. Elliott, Jia Shen

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.974872

zbMATH Keywords

asset pricingregime switchinggeneral equilibriuminterest ratesterm structureequity premiumrepresentative agent

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) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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