Continuous-time security pricing. A utility gradient approach
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Publication:1322708
DOI10.1016/0304-4068(94)90001-9zbMath0804.90017MaRDI QIDQ1322708
Costis Skiadas, J. Darrell Duffie
Publication date: 5 May 1994
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4068(94)90001-9
asset pricing; stochastic differential utility; continuous-time security market; habit-forming utilities; semimartingale prices
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