Add to ORKGThe author proposes a new equilibrium model for stock price processes. We first consider our one-period formulation, and then its continuous-time analogue. The dynamics of the resulting price process is determined by the distribution of risk tolerance among the agents, and for some special case we recover the Black-Scholes stock price model
The emergence of stock markets in former centrally planned economies poses a significant problem to ...
The stocks are the assets of market. The economic theory of demand is applicable for resource alloca...
In this paper we continue our systematic analysis of the operatorial approach previously proposed in...
The author proposes a new equilibrium model for stock price processes. We first consider our one-per...
The author proposes a new single-stock generalization of the Black-Scholes model. The stock price pr...
1. Some continuous time stock price models 2. Alternative justification of Black-Scholes formula 3. ...
This paper studies a class of di®usion models for stock prices derived by a microeco-nomic approach....
State prices are the fundamental building block for dynamic asset pricing models. We provide here a ...
We propose a numerical procedure for the pricing of financial contracts whose contingent claims are ...
We propose a numerical procedure for the pricing of financial contracts whose contingent claims are ...
We propose a numerical procedure for the pricing of financial contracts whose contingent claims are ...
This paper derives an equilibrium asset price when there exist three kinds of traders in financial m...
We propose an objective for the firm in a model of production economies extending over time under un...
This paper introduces a class of AR( oo )-type models for mean-square continuous processes with stat...
Stock exchanges are modelled as nonlinear feedback systems where the plant dynamics is defined by kn...
The emergence of stock markets in former centrally planned economies poses a significant problem to ...
The stocks are the assets of market. The economic theory of demand is applicable for resource alloca...
In this paper we continue our systematic analysis of the operatorial approach previously proposed in...
The author proposes a new equilibrium model for stock price processes. We first consider our one-per...
The author proposes a new single-stock generalization of the Black-Scholes model. The stock price pr...
1. Some continuous time stock price models 2. Alternative justification of Black-Scholes formula 3. ...
This paper studies a class of di®usion models for stock prices derived by a microeco-nomic approach....
State prices are the fundamental building block for dynamic asset pricing models. We provide here a ...
We propose a numerical procedure for the pricing of financial contracts whose contingent claims are ...
We propose a numerical procedure for the pricing of financial contracts whose contingent claims are ...
We propose a numerical procedure for the pricing of financial contracts whose contingent claims are ...
This paper derives an equilibrium asset price when there exist three kinds of traders in financial m...
We propose an objective for the firm in a model of production economies extending over time under un...
This paper introduces a class of AR( oo )-type models for mean-square continuous processes with stat...
Stock exchanges are modelled as nonlinear feedback systems where the plant dynamics is defined by kn...
The emergence of stock markets in former centrally planned economies poses a significant problem to ...
The stocks are the assets of market. The economic theory of demand is applicable for resource alloca...
In this paper we continue our systematic analysis of the operatorial approach previously proposed in...