Equilibrium Pricing in the Presence of Cumulative Dividends Following a Diffusion

DOI10.1111/1467-9965.02006MaRDI QIDQ4795992zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Black-Scholes formulaCCAPMderivativesequilibrium forward priceequilibrium futures priceequilibrium interest rateLucas type consumption pricing modelRadner equilibriumreal dividendsunbounded variation

Mathematics Subject Classification ID

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

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Cited in

(12)

• Stochastic equilibrium discounting
• Equilibrium equity price with optimal dividend policy
• AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS
• Diffusion models of asset prices
• What is the time value of a stream of investments?
• Closed form equilibrium evaluation of interest rate caps and related derivatives in a real business cycle setting
• General equilibrium pricing with multiple dividend streams and regime switching
• The Consumption-Based Capital Asset Pricing Model
• ON THE CONSISTENCY OF THE LUCAS PRICING FORMULA
• Continuous time one-dimensional asset-pricing models with analytic price-dividend functions
• No-arbitrage condition and existence of equilibrium with dividends
• Dividends in the theory of derivative securities pricing

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