Information structure and equilibrium asset prices

DOI10.1016/0022-0531(85)90061-4zbMath0553.90027OpenAlexW2089314831MaRDI QIDQ759628

Chi-fu Huang

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

zbMATH Keywords

Brownian motioninformation structurecontinuous sample pathscontinuous trading economyequilibrium asset price processesIto integrals

Mathematics Subject Classification ID

Economic growth models (91B62)

Related Items (22)

Dynamic spanning without probabilities ⋮ Integral representation in the theory of continuous trading ⋮ 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

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