General equilibrium pricing with multiple dividend streams and regime switching

DOI10.1080/14697688.2014.974872zbMATH Open1398.91697OpenAlexW1967596558MaRDI QIDQ4683085FDOQ4683085

Authors: Jia Shen, Robert J. Elliott 

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.974872

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zbMATH Keywords

regime switchingterm structuregeneral equilibriuminterest ratesasset pricingequity premiumrepresentative agent

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial applications of other theories (91G80)

Cites Work

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Cited In (2)

• Switching regimes in the term structure of interest rates during U.S. post-war: a case for the Lucas proof equilibrium?
• General equilibrium asset pricing under regime switching

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