Equilibrium Pricing in the Presence of Cumulative Dividends Following a Diffusion
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Publication:4795992
DOI10.1111/1467-9965.02006zbMath1042.91032OpenAlexW3122154540MaRDI QIDQ4795992
Publication date: 2002
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.02006
derivativesRadner equilibriumBlack-Scholes formulaCCAPMunbounded variationequilibrium forward priceequilibrium futures priceequilibrium interest rateLucas type consumption pricing modelreal dividends
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Related Items (4)
Dividends in the theory of derivative securities pricing ⋮ AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS ⋮ What is the time value of a stream of investments? ⋮ ON THE CONSISTENCY OF THE LUCAS PRICING FORMULA
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