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Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty

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  • Bardhan, Indrajit
  • Chao, Xiuli
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 20 (1996)
    Issue (Month): 1-3 ()
    Pages: 361-384

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    Handle: RePEc:eee:dyncon:v:20:y:1996:i:1-3:p:361-384

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    Web page: http://www.elsevier.com/locate/jedc

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    1. Duffie, Darrell & Zame, William, 1989. "The Consumption-Based Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 57(6), pages 1279-97, November.
    2. Bardhan, Indrajit & Chao, Xiulu, 1993. "Pricing options on securities with discontinuous returns," Stochastic Processes and their Applications, Elsevier, vol. 48(1), pages 123-137, October.
    3. Huang, Chi-fu, 1987. "An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information," Econometrica, Econometric Society, vol. 55(1), pages 117-42, January.
    4. Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, vol. 49(1), pages 33-83, October.
    5. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, vol. 53(2), pages 363-84, March.
    6. Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    7. Aase, Knut K., 1988. "Contingent claims valuation when the security price is a combination of an Ito process and a random point process," Stochastic Processes and their Applications, Elsevier, vol. 28(2), pages 185-220, June.
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    Cited by:
    1. Stephan Dieckmann & Michael Gallmeyer, 2006. "Pricing Rare Event Risk in Emerging Markets," 2006 Meeting Papers 305, Society for Economic Dynamics.
    2. Stephan Dieckmann & Michael Gallmeyer, . "The Equilibrium Allocation of Diffusive and Jump Risks with Heterogeneous Agents," GSIA Working Papers 2003-E36, Carnegie Mellon University, Tepper School of Business.
    3. Bates, David S., 2008. "The market for crash risk," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2291-2321, July.
    4. Dieckmann, Stephan & Gallmeyer, Michael, 2013. "Rare event risk and emerging market debt with heterogeneous beliefs," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 163-187.

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