GENERAL EQUILIBRIUM WITH CONSTANT RELATIVE RISK AVERSION AND VASICEK INTEREST RATES
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Publication:4226868
DOI10.1111/j.1467-9965.1996.tb00120.xzbMath0915.90018MaRDI QIDQ4226868
No author found.
Publication date: 5 July 1999
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1996.tb00120.x
Ornstein-Uhlenbeck process; interest rates; equity premium; martingale approach; call option; pure exchange economy; equilibrium stock price
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
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Cites Work
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Martingales and arbitrage in multiperiod securities markets
- A Theory of the Term Structure of Interest Rates
- An Intertemporal General Equilibrium Model of Asset Prices
- Asset Prices in an Exchange Economy
- An equilibrium characterization of the term structure
- Pricing Interest-Rate-Derivative Securities