Continuous equilibrium in affine and information-based capital asset pricing models (Q470686)
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scientific article
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| English | Continuous equilibrium in affine and information-based capital asset pricing models |
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Continuous equilibrium in affine and information-based capital asset pricing models (English)
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12 November 2014
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continuous-time equilibrium
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exponential utility
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CAPM
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affine processes
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information-based asset pricing
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implied volatility
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0.7900630235671997
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0.7888189554214478
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0.778944194316864
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0.7709048390388489
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0.7675765752792358
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