Volatility and stock prices: Implications from a production model of asset pricing

DOI10.1016/S0165-1765(00)00365-7zbMath0981.91016WikidataQ127186613 ScholiaQ127186613MaRDI QIDQ5940744

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Publication date: 20 August 2001

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

returns to scaleCEV diffusion processreturn volatility

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (2)

Constant elasticity of variance model and analytical strategies for annuity contracts ⋮ The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts

Cites Work

• Asset Prices in an Exchange Economy
• Mean Reversion in Stock Prices: Implications from a Production Based Asset Pricing Model
• On Existence of Weakly Maximal Programmes in a Multi-Sector Economy

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