Information structure and equilibrium asset prices

DOI10.1016/0022-0531(85)90061-4zbMath0553.90027MaRDI QIDQ759628

Chi-fu Huang

Publication date: 1985

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1721.1/48221

zbMATH Keywords

Brownian motion; information structure; continuous sample paths; continuous trading economy; equilibrium asset price processes; Ito integrals

Mathematics Subject Classification ID

91B62: Economic growth models

Related Items

Toward A Convergence Theory For Continuous Stochastic Securities Market Models¹, Option Pricing With V. G. Martingale Components¹, Further results on asset pricing with incomplete information, Pathwise stochastic integration and applications to the theory of continuous trading, Information structures and viable price systems, Multiperiod security markets with differential information, Stochastic equilibrium discounting, Admissible investment strategies in continuous trading, A note on the terminal date security prices in a continuous time trading model with dividends, Corrigendum to `A note on the terminal date security prices in a continuous time trading model with dividents', On intertemporal preferences in continuous time. The case of certainty, Martingale densities for general asset prices, Dynamic spanning without probabilities, Recursive valuation of defaultable securities and the timing of resolution of uncertainty, On volatility of prices in arbitrage-free markets, On the fundamental theorem of asset pricing with an infinite state space, Pricing measures, forward measures and semigroups

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