This paper studies the asset pricing implications of a general equi-librium model in which real investment is …

applications to, e.g., multivariate option pricing with stochasticvolatilities and correlations, fixed-income models with …

The pricing kernel puzzle is the observation that the pricing kernelmight be increasing in some range of the market … returns. This paperanalyzes the pricing kernel in a nancial market equilibrium. If mar-kets are complete and investors are … risk-averse and have common andtrue beliefs, the pricing kernel is a decreasing function of aggregateresources. If at least …

, viaduality, restrictions on pricing kernels and thereby gives tighter valuation boundson payoffs than absence of arbitrage alone … and global (conditional) pricing kernel restrictions for the temporally dynamicsetting. For the dynamic case, we show in a …

We study an equilibrium asset pricing model with several Lucas (1978) trees subject toevent risk, that is, the …

This paper develops a closed form risk-neutral valuation model for pricing Europeanstyle options when the underlying …

distributed underlying asset. Closed formand preference free European option pricing formulae are derived for a variety of …(transformed) gamma distributions, and Heston’s (1993) model is obtained as aspecial case. The option pricing framework developed here … significantly extendsthe Gaussian class distributions embedded in current option pricing theories... …