Information structure and equilibrium asset prices
From MaRDI portal
Publication:759628
DOI10.1016/0022-0531(85)90061-4zbMath0553.90027OpenAlexW2089314831MaRDI QIDQ759628
Publication date: 1985
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1721.1/48221
Brownian motioninformation structurecontinuous sample pathscontinuous trading economyequilibrium asset price processesIto integrals
Related Items
Dynamic spanning without probabilities ⋮ Information structures and viable price systems ⋮ Multiperiod security markets with differential information ⋮ Stochastic equilibrium discounting ⋮ Recursive valuation of defaultable securities and the timing of resolution of uncertainty ⋮ On the fundamental theorem of asset pricing with an infinite state space ⋮ On volatility of prices in arbitrage-free markets ⋮ Admissible investment strategies in continuous trading ⋮ First passage times in portfolio optimization: a novel nonparametric approach ⋮ Pathwise stochastic integration and applications to the theory of continuous trading ⋮ Toward A Convergence Theory For Continuous Stochastic Securities Market Models1 ⋮ Option Pricing With V. G. Martingale Components1 ⋮ A note on the terminal date security prices in a continuous time trading model with dividends ⋮ Corrigendum to `A note on the terminal date security prices in a continuous time trading model with dividents' ⋮ On intertemporal preferences in continuous time. The case of certainty ⋮ Martingale densities for general asset prices ⋮ Risk-Neutral Pricing and Hedging of In-Play Football Bets ⋮ Pricing measures, forward measures and semigroups ⋮ Unnamed Item ⋮ On bid-price controls for network revenue management ⋮ Further results on asset pricing with incomplete information
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Martingales and arbitrage in multiperiod securities markets
- Un survol de la théorie de l'intégrale stochastique
- Arbitrage and equilibrium in economies with infinitely many commodities
- Martingales and stochastic integrals in the theory of continuous trading
- Decomposition of supermartingales: The uniqueness theorem
- An Intertemporal General Equilibrium Model of Asset Prices
- Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
- An Intertemporal Capital Asset Pricing Model
- Quasi-Martingales
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- The Representation of Functionals of Brownian Motion by Stochastic Integrals
- Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets
