Equilibrium Pricing in the Presence of Cumulative Dividends Following a Diffusion

DOI10.1111/1467-9965.02006zbMATH Open1042.91032OpenAlexW3122154540MaRDI QIDQ4795992FDOQ4795992

Authors: Knut Kristian Aase 

Publication date: 2002

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

Full work available at URL: https://doi.org/10.1111/1467-9965.02006

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zbMATH Keywords

Black-Scholes formuladerivativesRadner equilibriumCCAPMunbounded variationequilibrium forward priceequilibrium futures priceequilibrium interest rateLucas type consumption pricing modelreal dividends

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) General equilibrium theory (91B50)

Cites Work

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Cited In (9)

• Diffusion models of asset prices
• Stochastic equilibrium discounting
• AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS
• What is the time value of a stream of investments?
• Continuous time one-dimensional asset-pricing models with analytic price-dividend functions
• No-arbitrage condition and existence of equilibrium with dividends
• The Consumption-Based Capital Asset Pricing Model
• Dividends in the theory of derivative securities pricing
• ON THE CONSISTENCY OF THE LUCAS PRICING FORMULA

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