The no-arbitrage pricing of non-traded assets

DOI10.1007/S10436-023-00434-1zbMath1522.91291OpenAlexW4385455969MaRDI QIDQ6076760

Robert A. Jarrow

Publication date: 22 September 2023

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

Full work available at URL: https://doi.org/10.1007/s10436-023-00434-1

zbMATH Keywords

real optionsarbitrage pricingnon-traded assetsidiosyncratic riskreal estateinsurance contractsprivate debtprivate equity

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Corporate finance (dividends, real options, etc.) (91G50) Actuarial mathematics (91G05)

Cites Work

• Continuous-Time Asset Pricing Theory
• Option pricing when underlying stock returns are discontinuous
• DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS

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