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Continuous equilibrium in affine and information-based capital asset pricing models

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2012

Autor:innen

Horst, Ulrich
Macrina, Andrea
Mainberger, Christoph

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http://nbn-resolving.de/urn:nbn:de:bsz:352-270235
DOI (zitierfähiger Link)
https://doi.org/10.1007/s10436-012-0216-z
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Annals of Finance. 2012, 9(4), pp. 725-755. ISSN 1614-2446. eISSN 1614-2454. Available under: doi: 10.1007/s10436-012-0216-z

Zusammenfassung

We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have exponential utility functions and the individual endowments are spanned by the securities, an equilibrium exists and the agents’ optimal trading strategies are constant. Affine processes, and the theory of information-based asset pricing are used to model the endogenous asset price dynamics and the terminal payoff. The derived semi-explicit pricing formulae are applied to numerically analyze the impact of the agents’ risk aversion on the implied volatility of simultaneously-traded European-style options.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
510 Mathematik

Schlagwörter

Continuous-time equilibrium, Exponential utility, CAPM, Affine processes, Information-based asset pricing

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ISO 690HORST, Ulrich, Michael KUPPER, Andrea MACRINA, Christoph MAINBERGER, 2012. Continuous equilibrium in affine and information-based capital asset pricing models. In: Annals of Finance. 2012, 9(4), pp. 725-755. ISSN 1614-2446. eISSN 1614-2454. Available under: doi: 10.1007/s10436-012-0216-z
BibTex
@article{Horst2012Conti-27023,
  year={2012},
  doi={10.1007/s10436-012-0216-z},
  title={Continuous equilibrium in affine and information-based capital asset pricing models},
  number={4},
  volume={9},
  issn={1614-2446},
  journal={Annals of Finance},
  pages={725--755},
  author={Horst, Ulrich and Kupper, Michael and Macrina, Andrea and Mainberger, Christoph}
}
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