Continuous equilibrium in affine and information-based capital asset pricing models

DOI10.1007/S10436-012-0216-ZzbMath1298.91090arXiv1201.1840OpenAlexW2153039997MaRDI QIDQ470686

Andrea Macrina, Michael Kupper, Christoph Mainberger, Ulrich Horst

Publication date: 12 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.1840

zbMATH Keywords

implied volatilityCAPMexponential utilityaffine processescontinuous-time equilibriuminformation-based asset pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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