Lagos, Ricardo (contributor); … - 2006
, Indiana University, Singapore Management University, and the
University of Pennsylvania for their comments. Financial support …, the price of the asset in the competitive
market. This price is the one that equilibrates demand and supply of assets, i …-time Markov chain: while in state s∈ {H,L},thetime
until the next switch to the other state s
0
is an exponentially distributed …