We derive a general equilibrium linear relationship between the market prices of risks and market risk aversion under a continuous time stochastic volatility model completed by liquidly traded options. The relation is robust as it is valid for both endowment and production economies, and for...

Considering a pure exchange economy with habit formation utility, this paper explores the equilibrium relationships between the market pricing kernel, the market prices of risks and the market risk aversion under a continuous time stochastic volatility model completed by liquidly traded put...

Considering a pure exchange economy with habit formation utility, this paper explores the equilibrium relationships between the market pricing kernel, the market prices of risks and the market risk aversion under a continuous time stochastic volatility model completed by liquidly traded put...

Considering a production economy with an arbitrary von-Neumann Morgenstern utility, this paper derives a general equilibrium relationship between the market prices of risks and market risk aversion under a continuous time stochastic volatility model completed by liquidly traded options....