A martingale theory of asset pricing in a production economy

DOI10.1016/0165-4896(90)90002-OMaRDI QIDQ751966zbMATH OpenOpenAlexFDO

Authors Parantap Basu

Publication date 1990

Published in Mathematical Social Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-4896(90)90002-o

zbMATH Keywords

capital accumulationasset pricingproduction economymartingale valuation equation

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

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Cites work

• Asset Prices in an Exchange Economy
• The Present-Value Relation: Tests Based on Implied Variance Bounds

Cited in

(5)

• The volatility of asset prices in a stochastic production economy
• Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
• Production and the Real Rate of Interest: A Sample Path Equilibrium
• Production and the Real Rate of Interest: A Sample Path Equilibrium
• Continuous-time asset pricing theory. A martingale-based approach

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