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Dividends in the theory of derivative securities pricing

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  • Lars Nielsen

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File URL: http://hdl.handle.net/10.1007/s00199-006-0106-6
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Bibliographic Info

Article provided by Springer in its journal Economic Theory.

Volume (Year): 31 (2007)
Issue (Month): 3 (June)
Pages: 447-471

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Handle: RePEc:spr:joecth:v:31:y:2007:i:3:p:447-471

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Related research

Keywords: Dividend; Cumulative dividend process; Derivative security; Unit of account; Martingale valuation; G10; G13;

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References

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  1. Jeanblanc, Monique & Dana, Rose-Anne, 2003. "Financial Markets in Continuous Time," Economics Papers from University Paris Dauphine 123456789/13604, Paris Dauphine University.
  2. Darrell Duffie & William Zame, 1988. "The Consumption-Based Capital Asset Pricing Model," Discussion Papers 88-10, University of Copenhagen. Department of Economics.
  3. Duffie, Darrell, 1991. "The theory of value in security markets," Handbook of Mathematical Economics, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 31, pages 1615-1682 Elsevier.
  4. Jin, Xing & Deng, Shuhui, 1997. "Existence and uniqueness of optimal consumption and portfolio rules in a continuous-time finance model with habit formation and without short sales," Journal of Mathematical Economics, Elsevier, vol. 28(2), pages 187-205, September.
  5. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
  6. Huang, Chi-fu, 1985. "Information structures and viable price systems," Journal of Mathematical Economics, Elsevier, vol. 14(3), pages 215-240, June.
  7. Cuoco, Domenico, 1997. "Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income," Journal of Economic Theory, Elsevier, vol. 72(1), pages 33-73, January.
  8. Nielsen, Lars Tyge, 1999. "Pricing and Hedging of Derivative Securities," OUP Catalogue, Oxford University Press, number 9780198776192, September.
  9. Knut K. Aase, 2002. "Equilibrium Pricing in the Presence of Cumulative Dividends Following a Diffusion," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 173-198.
  10. Hindy, Ayman, 1995. "Viable prices in financial markets with solvency constraints," Journal of Mathematical Economics, Elsevier, vol. 24(2), pages 105-135.
  11. Schweizer, Martin, 1992. "Martingale densities for general asset prices," Journal of Mathematical Economics, Elsevier, vol. 21(4), pages 363-378.
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Cited by:
  1. Knut K. Aase, 2008. "On The Consistency Of The Lucas Pricing Formula," Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 293-303.

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