Continuous time one-dimensional asset-pricing models with analytic price-dividend functions

DOI10.1007/s00199-008-0404-2zbMath1186.91100OpenAlexW1965826464MaRDI QIDQ847865

Thomas F. Cosimano, A. Alexandrou Himonas, Yu Chen

Publication date: 19 February 2010

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00199-008-0404-2

zbMATH Keywords

second-order linear ordinary differential equationCauchy-Kovalevsky theoremcontinuous time one-dimensional asset pricing model

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Differentiability and comparative analysis in discrete-time infinite- horizon optimization
• Projection methods for solving aggregate growth models
• On high-order differentiability of the policy function
• Analytic solving of asset pricing models: the by force of habit case
• A Theory of the Term Structure of Interest Rates
• The Lucas Orchard
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Stochastic Differential Utility
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Asset Prices in an Exchange Economy
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Smoothness of the Policy Function in Discrete Time Economic Models
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Accuracy of Numerical Solutions Using the Euler Equation Residuals
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• A Model of Intertemporal Asset Prices Under Asymmetric Information
• An equilibrium characterization of the term structure
• Solving Asset Pricing Models when the Price-Dividend Function Is Analytic
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
• A note on some limitations of CRRA utility

This page was built for publication: Continuous time one-dimensional asset-pricing models with analytic price-dividend functions