Long run forward rates and long yields of bonds andoptions in heterogeneous equilibria
Year of publication: |
2008-05-01
|
---|---|
Authors: | Malamud, Semyon |
Institutions: | Swiss National Centre of Competence in Research North South <Bern> |
Subject: | Aktienkurs | Ertrag | Heterogenität |
- 1 Introduction
- 2 The model
- 3 Market Equilibrium
- 4 The aggregator function and its properties
- 5 The long run yield of a zero coupon bond and long run forwardrates
- 6 The yield of a long maturity European call option
- 7 Appendix: A sketch of proof of Theorem 3.2
- References
-
Universal bounds for asset prices inheterogeneous economies
Malamud, Semyon, (2008)
-
ASSET PRICING IN HETEROGENEOUS ECONOMIES I. WEAK HETEROGENEITY
Lengwiler, Yvan, (2006)
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Mollet, Janick Christian, (2012)
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Optimal Securitization with Heterogeneous Investors
Malamud, Semyon, (2010)
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Price Impact and Portfolio Impact
Cvitanić, Jakša, (2010)
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Duffie, Darrell, (2009)
- More ...