General equilibrium pricing with multiple dividend streams and regime switching

DOI10.1080/14697688.2014.974872MaRDI QIDQ4683085zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• Microeconomic theory
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
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• The Lucas orchard

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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