ON THE CONSISTENCY OF THE LUCAS PRICING FORMULA

DOI10.1111/J.1467-9965.2007.00333.XzbMATH Open1133.91368OpenAlexW3121128587MaRDI QIDQ5459959FDOQ5459959

Authors: Knut Kristian Aase 

Publication date: 30 April 2008

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

Full work available at URL: https://escholarship.org/uc/item/6gk6b0xw

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Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Martingales and arbitrage in multiperiod securities markets
• Equilibrium in incomplete markets. I: A basic model of generic existence
• Title not available (Why is that?)
• Asset Prices in an Exchange Economy
• Changes of numéraire, changes of probability measure and option pricing
• Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹
• The Consumption-Based Capital Asset Pricing Model
• Equilibrium Pricing in the Presence of Cumulative Dividends Following a Diffusion
• What is the time value of a stream of investments?

Cited In (1)

• Title not available (Why is that?)

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