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2011-11-16Buch DOI: 10.18452/4370
Continuous Equilibrium under Base Preferences and Attainable Initial Endowments
dc.contributor.authorHorst, Ulrich
dc.contributor.authorKupper, Michael
dc.contributor.authorMacrina, Andrea
dc.contributor.authorMainberger, Christoph
dc.date.accessioned2017-06-16T00:32:27Z
dc.date.available2017-06-16T00:32:27Z
dc.date.created2011-12-08
dc.date.issued2011-11-16
dc.date.submitted2011-11-16
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5022
dc.description.abstractWe consider a full equilibrium model in continuous time comprising a finite number of agents and tradable securities.We show that, if the agents’ endowments are spanned by the securities and if the agents have entropic utilities, 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. Semi-explicit pricing formulae are obtained and applied to numerically analyze the impact of the agents’ risk aversion on the implied volatility of simultaneously-traded European-style options.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectCAPMeng
dc.subjectimplied volatilityeng
dc.subjectContinuous-time equilibriumeng
dc.subjectaffine processeseng
dc.subjectinformation-based asset pricingeng
dc.subject.ddc330 Wirtschaft
dc.titleContinuous Equilibrium under Base Preferences and Attainable Initial Endowments
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100197042
dc.identifier.doihttp://dx.doi.org/10.18452/4370
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages31
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2011
local.edoc.container-issue82
local.edoc.container-year2011
local.edoc.container-erstkatid2195055-6

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