this function and propose how it can be used, amongst other uses in an arbitrage based option pricing model. …

Zin (1989) the standard general equilibrium asset pricing model can account for neither the sign nor the magnitude of …

The pricing problem of options with an early exercise feature, such as American options, is one of the important topics … in mathematical finance. The pricing formulas for American options, however, have not been found in general and the …. Although the closed form pricing formula for perpetual American options in the Black and Scholes economy is known explicitly …

recessions and rise sharply during booms. This phenomenon also gives rise to cyclical asset pricing implications: high asset … often assumed that regime-switching risk is diversifiable and, hence, can be ignored when pricing primary and derivative … for pricing purposes. We therefore develop a valuation framework that incorporates regime-switching risk premia and assess …

suitable specifications of liquidity premium on TIPS, as well as complications caused by lagged indexation. We estimate the …