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Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models
| Content Provider | Semantic Scholar |
|---|---|
| Author | Horst, Ulrich Kupper, Michael Macrina, Andrea Mainberger, Christoph |
| Copyright Year | 2012 |
| Abstract | We consider a class of generalized capital asset pricing mod els in continuous time with a finite number of agents and tradable securities. The securit ies may not be sufficient to span all sources of uncertainty. If the agents have exponential u lity functions and the individual endowments are spanned by the securities, an equilibriu m exists and the agents’ optimal trading strategies are constant. Affine processes, and the t heory of information-based asset pricing are used to model the endogenous asset price dynamic s nd the terminal payoff. The derived semi-explicit pricing formulae are applied to nume rically analyze the impact of the agents’ risk aversion on the implied volatility of simultan eously-traded European-style options.1 |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://discovery.ucl.ac.uk/1376803/1/1201.1840v2.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
