Drift and the risk-free rate
From MaRDI portal
Publication:642444
DOI10.1155/2011/595741zbMATH Open1229.91374OpenAlexW1966785881WikidataQ58692038 ScholiaQ58692038MaRDI QIDQ642444FDOQ642444
Authors: Juan-Miguel Gracia 
Publication date: 26 October 2011
Published in: Journal of Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2011/595741
Recommendations
- GENERAL EQUILIBRIUM WITH CONSTANT RELATIVE RISK AVERSION AND VASICEK INTEREST RATES
- A NOTE ON THE RISK-PREMIUM PROCESS IN AN EQUILIBRIUM
- The risk-free rate in heterogeneous-agent incomplete-insurance economies
- Drift estimation of generalized security price processes from high frequency derivative prices
- Risk-neutral economy and zero price of risk
Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Martingales and arbitrage in multiperiod securities markets
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Arbitrage and equilibrium in economies with infinitely many commodities
This page was built for publication: Drift and the risk-free rate
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q642444)
