Information structure and equilibrium asset prices
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Cites work
- scientific article; zbMATH DE number 3778409 (Why is no real title available?)
- scientific article; zbMATH DE number 3538576 (Why is no real title available?)
- scientific article; zbMATH DE number 3567644 (Why is no real title available?)
- scientific article; zbMATH DE number 3583004 (Why is no real title available?)
- scientific article; zbMATH DE number 3628142 (Why is no real title available?)
- scientific article; zbMATH DE number 3223983 (Why is no real title available?)
- An Intertemporal Capital Asset Pricing Model
- An Intertemporal General Equilibrium Model of Asset Prices
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- Arbitrage and equilibrium in economies with infinitely many commodities
- Decomposition of supermartingales: The uniqueness theorem
- Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets
- Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Optimum consumption and portfolio rules in a continuous-time model
- Quasi-Martingales
- The Representation of Functionals of Brownian Motion by Stochastic Integrals
- Un survol de la théorie de l'intégrale stochastique
Cited in
(34)- Stochastic equilibrium discounting
- The integrability problem of asset prices
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty
- On equilibrium prices in continuous time
- Asset pricing in an intertemporal partially-revealing rational expectations equilibrium.
- On volatility of prices in arbitrage-free markets
- Integral representation in the theory of continuous trading
- On bid-price controls for network revenue management
- A note on the terminal date security prices in a continuous time trading model with dividends
- Information and asset prices in complete markets exchange economies
- Dynamic spanning without probabilities
- Martingale densities for general asset prices
- General equilibrium with heterogeneous participants and continuous consumption with information costs and short selling constraints
- On the fundamental theorem of asset pricing with an infinite state space
- Toward A Convergence Theory For Continuous Stochastic Securities Market Models1
- Local Interaction, Incomplete Information and Properties of Asset Prices
- Multiperiod security markets with differential information
- Continuous equilibrium in affine and information-based capital asset pricing models
- Private information and sunspots in sequential asset markets
- On intertemporal preferences in continuous time. The case of certainty
- Risk-neutral pricing and hedging of in-play football bets
- Game options approach in bankruptcy triggering asset value
- Admissible investment strategies in continuous trading
- First passage times in portfolio optimization: a novel nonparametric approach
- Asset markets and the information revealed by prices
- Pathwise stochastic integration and applications to the theory of continuous trading
- Corrigendum to `A note on the terminal date security prices in a continuous time trading model with dividents'
- Asset pricing in large information networks
- Asset prices with investor protection and past information
- Pricing measures, forward measures and semigroups
- Further results on asset pricing with incomplete information
- The information content of lagged equity and bond yields
- Information structures and viable price systems
- Option Pricing With V. G. Martingale Components1
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