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Continuous equilibrium under base preferences and attainable initial endowments
Horst, Ulrich; Kupper, Michael; Macrina, Andrea; … - 2011
We consider a full equilibrium model in continuous time comprising a finite number of agents and tradable securities.We show that, if the agents' endowments are spanned by the securities and if the agents have entropic utilities, an equilibrium exists and the agents' optimal trading strategies...
Persistent link: https://www.econbiz.de/10010281543
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Implementing option pricing models when asset returns are predictable
Lo, Andrew W.; Wang, Jiang - 1994
Persistent link: https://www.econbiz.de/10000889016
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Contigent claim valuation in a market with a higher interest rate for borrowing than for lending
Korn, Ralf - 1993
Persistent link: https://www.econbiz.de/10000890764
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Continuous-time limits in the generalised Ho-Lee framework under the risk-neutral and forward measures
Sommer, Daniel - 1994
Persistent link: https://www.econbiz.de/10000891387
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The pricing of foreign currency options
Knoch, Hans-Jürgen - 1992
Persistent link: https://www.econbiz.de/10000893051
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Zeitreihenanalyse von Optionsscheinpreisen zur Beurteilung von Kurschancen und -risiken
Hehn, Elisabeth - 1994
Persistent link: https://www.econbiz.de/10000893910
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Down-and-out Optionen : Eigenschaften, vereinfachte Bewertung und Anwendbarkeit in Kapitalstrukturmodellen
Burkhardt, Thomas - 1994
Persistent link: https://www.econbiz.de/10000894585
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Das systematische Risiko von Obligationen : e. Unters. für d. Schweiz
Stalder, Marco - 1988
Persistent link: https://www.econbiz.de/10000749867
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The pricing of contingent claims written on bonds by simulation of bond price processes : version 2.0
Miltersen, Kristian R.; Nielsen, Lars - 1989
Persistent link: https://www.econbiz.de/10000775498