ON THE CONSISTENCY OF THE LUCAS PRICING FORMULA

DOI10.1111/J.1467-9965.2007.00333.XMaRDI QIDQ5459959zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cites work

• Asset Prices in an Exchange Economy
• Changes of numéraire, changes of probability measure and option pricing
• Equilibrium in incomplete markets. I: A basic model of generic existence
• Equilibrium Pricing in the Presence of Cumulative Dividends Following a Diffusion
• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• Martingales and arbitrage in multiperiod securities markets
• Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹
• The Consumption-Based Capital Asset Pricing Model
• What is the time value of a stream of investments?

Cited in

(1)

• scientific article; zbMATH DE number 6130085 (Why is no real title available?)

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