Asset pricing with endogeneous aspirations

DOI10.1007/s102030170007zbMath1013.60040OpenAlexW1999067973MaRDI QIDQ698350

Maria Elvira Mancino, Fabio Antonelli, Emilio Basrucci

Publication date: 21 October 2002

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s102030170007

zbMATH Keywords

forward-backward stochastic differential equationsasset pricing theoryItô processesArrow-Debreu priceasset pricing analysisasset risk premiumMalliavin calculus techniques

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07)

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