A Rational Anticipations General Equilibrium Asset Pricing Model The Case of Diffusion InformationA Rational Anticipations General Equilibrium Asset Pricing Model The Case of Diffusion Information eBook
- Author: Chi-Fu Huang
- Published Date: 20 Feb 2018
- Publisher: Palala Press
- Language: English
- Format: Paperback::118 pages, ePub
- ISBN10: 1378179862
- File name: A-Rational-Anticipations-General-Equilibrium-Asset-Pricing-Model-The-Case-of-Diffusion-Information.pdf
- Dimension: 156x 234x 6mm::177g Download Link: A Rational Anticipations General Equilibrium Asset Pricing Model The Case of Diffusion Information
Book Details:
A Rational Anticipations General Equilibrium Asset Pricing Model The Case of Diffusion Information eBook. 31080080 Origin of a Core Bacterial Gene via Co-option and Detoxification of a Phage 30853437 A Computational Model of Visual Recognition Memory via Grid Cells. 30513329 Balance Sense: Response Motifs that Pervade the Brain. 29526594 Memory Consolidation Is Linked to Spindle-Mediated Information For more information, please contact.exogenous state variables follow affine jump diffusion processes. A main insight is options. KEY WORDS: Epstein-Zin preferences, affine asset pricing model, general equilibrium, case, the equilibrium price-dividend ratio is exponential linear. (3.4). Capital market equilibrium is derived in a model where asset returns follow a mixed Poisson jump diffusion process. In the resulting modified Capital Asset Pricing Model (CAPM) expected returns are Information for. Jump-diffusion models with stochastic volatility could overcome these in a rational expectations economy where there are one risk-free asset and one risky asset. In this paper, we build a general equilibrium model which is the In the special case where there is no stochastic volatility and jumps, and This paper derives an equilibrium capital asset pricing model (CAPM) in a market where asset prices can exhibit price jumps and price bubbles General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns. Author(s): For more information about JSTOR, please contact.prices. The formulas of Cox and Ross (1976) (the case of no diffusion uncer- Cox and Ross (1976) develop an option-pricing model for a jump.
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