A note on a simplified approach to the valuation of risky streams

DOI10.1016/0167-6377(84)90065-8zbMath0531.90004OpenAlexW3122309587MaRDI QIDQ788598

Suresh P. Sethi

Publication date: 1984

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6377(84)90065-8

zbMATH Keywords

stochastic processesconditional expectationmartingale measureinterest rate processefficient market theoremlocally riskless valuation propertyvaluation functionalvaluation of risk streams

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Economic time series analysis (91B84)

Related Items (3)

Option pricing methods: an overview ⋮ Beliefs and arbitrage pricing ⋮ A Stochastic Extension of the Miller‐Modigliani Framework¹

Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• Extension of positive operators and Korovkin theorems
• Martingales and stochastic integrals in the theory of continuous trading
• General Solution of the Stochastic Price-Dividend Integral Equation: A Theory of Financial Valuation
• Asset Prices in an Exchange Economy
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A note on a simplified approach to the valuation of risky streams