Asset pricing for general processes

Journal of Mathematical Economics

Volumn 20, Issue 4, 1991, Pages 371-395

  Back, Kerry ^a  

^a WASHINGTON UNIVERSITY   (United States)

Author keywords

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Indexed keywords

EID: 33747884734     PISSN: 03044068     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4068(91)90037-T     Document Type: Article

References (23)

1. Jump-diffusion processes and the term structure of interest rates
2. A nonstandard representation for Brownian motion and Itô integration
3. On the fundamental theorem of asset pricing with an infinite state space
4. An intertemporal asset pricing model with stochastic consumption and investment opportunities
5. Asset pricing in multiperiod securities markets
6. A survey of some new results in financial option pricing theory
7. Valuation equilibrium and Pareto optimum
8. Consumption correlatedness and risk measurement in economies with non-traded assets and heterogeneous information
9. Martingales and arbitrage in multi-period securities markets
10. Martingales and stochastic integrals in the theory of continuous trading
11. Information structures and viable price systems
12. An intertemporal general equilibrium asset pricing model The case of diffusion information
13. A general theorem of representation for martingales
14. Arbitrage and equilibrium in economies with infinitely many commodities
15. Risk measurement in semimartingale models with multiple consumption goods
16. Optimum consumption and portfolio rules in a continuous-time model
17. An intertemporal capital asset pricing model
18. Extension of Fenchel's duality theorem for convex functions
19. Integral functionals, normal integrands and measurable selections
20. Information and volatility The no-arbitrage martingale approach to timing and resolution irrelevancy