Asset pricing for general processes
- 31 December 1991
- journal article
- Published by Elsevier in Journal of Mathematical Economics
- Vol. 20 (4) , 371-395
- https://doi.org/10.1016/0304-4068(91)90037-t
Abstract
No abstract availableKeywords
This publication has 18 references indexed in Scilit:
- Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution IrrelevancyThe Journal of Finance, 1989
- Asset Pricing in Multiperiod Securities MarketsEconometrica, 1988
- Jump-Diffusion Processes and the Term Structure of Interest RatesThe Journal of Finance, 1988
- An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion InformationEconometrica, 1987
- Consumption correlatedness and risk measurement in economies with non-traded assets and heterogeneous informationJournal of Financial Economics, 1982
- Arbitrage and equilibrium in economies with infinitely many commoditiesJournal of Mathematical Economics, 1981
- An intertemporal asset pricing model with stochastic consumption and investment opportunitiesJournal of Financial Economics, 1979
- A Survey of Some New Results in Financial Option Pricing TheoryThe Journal of Finance, 1976
- An Intertemporal Capital Asset Pricing ModelEconometrica, 1973
- Extension of Fenchel’ duality theorem for convex functionsDuke Mathematical Journal, 1966