A Quantitative Theory of Risk Premiums on Securities with an Application to the Term Structure of Interest Rates

DOI10.2307/1914275MaRDI QIDQ4066830zbMATH OpenOpenAlexFDO

Authors Bruce C. Dieffenbach

Publication date 1975

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1914275

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Trade models (91B60)

Cited in

(1)

• Futures markets and commodity options: Hedging and optimality in incomplete markets

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