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

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

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HORST, Ulrich, Michael KUPPER, Andrea MACRINA, Christoph MAINBERGER, 2012. Continuous equilibrium in affine and information-based capital asset pricing models. In: Annals of Finance. 9(4), pp. 725-755. ISSN 1614-2446. eISSN 1614-2454

@article{Horst2012Conti-27023, title={Continuous equilibrium in affine and information-based capital asset pricing models}, year={2012}, doi={10.1007/s10436-012-0216-z}, 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} }

<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:dcterms="http://purl.org/dc/terms/" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/27023"> <dc:contributor>Macrina, Andrea</dc:contributor> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2014-03-14T10:17:36Z</dcterms:available> <dcterms:rights rdf:resource="http://nbn-resolving.org/urn:nbn:de:bsz:352-20140905103605204-4002607-1"/> <dc:rights>deposit-license</dc:rights> <dc:contributor>Kupper, Michael</dc:contributor> <dc:contributor>Horst, Ulrich</dc:contributor> <dc:creator>Macrina, Andrea</dc:creator> <dcterms:abstract xml:lang="eng">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.</dcterms:abstract> <dc:creator>Kupper, Michael</dc:creator> <dcterms:title>Continuous equilibrium in affine and information-based capital asset pricing models</dcterms:title> <dc:creator>Horst, Ulrich</dc:creator> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2014-03-14T10:17:36Z</dc:date> <dc:contributor>Mainberger, Christoph</dc:contributor> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/27023"/> <dcterms:bibliographicCitation>Annals of Finance ; 9 (2013), 4. - S. 725-755</dcterms:bibliographicCitation> <dc:language>eng</dc:language> <dc:creator>Mainberger, Christoph</dc:creator> <dcterms:issued>2012</dcterms:issued> </rdf:Description> </rdf:RDF>

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