Asset pricing with endogeneous aspirations
DOI10.1007/s102030170007zbMath1013.60040OpenAlexW1999067973MaRDI QIDQ698350
Maria Elvira Mancino, Fabio Antonelli, Emilio Basrucci
Publication date: 21 October 2002
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s102030170007
forward-backward stochastic differential equationsasset pricing theoryItô processesArrow-Debreu priceasset pricing analysisasset risk premiumMalliavin calculus techniques
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07)
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