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Dividends in the theory of derivative securities pricing

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  • Lars Nielsen

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  • Lars Nielsen, 2007. "Dividends in the theory of derivative securities pricing," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 31(3), pages 447-471, June.
    • Handle: RePEc:spr:joecth:v:31:y:2007:i:3:p:447-471
    DOI: 10.1007/s00199-006-0106-6
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    References listed on IDEAS

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    1. repec:dau:papers:123456789/13604 is not listed on IDEAS
    2. Roll, Richard, 1977. "An analytic valuation formula for unprotected American call options on stocks with known dividends," Journal of Financial Economics, Elsevier, vol. 5(2), pages 251-258, November.
    3. Huang, Chi-fu, 1985. "Information structures and viable price systems," Journal of Mathematical Economics, Elsevier, vol. 14(3), pages 215-240, June.
    4. 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.
    5. Duffie, Darrell & Zame, William, 1989. "The Consumption-Based Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 57(6), pages 1279-1297, November.
    6. W. Hildenbrand & H. Sonnenschein (ed.), 1991. "Handbook of Mathematical Economics," Handbook of Mathematical Economics, Elsevier, edition 1, volume 4, number 4.
    7. 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.
    8. 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.
    9. Nielsen, Lars Tyge, 1999. "Pricing and Hedging of Derivative Securities," OUP Catalogue, Oxford University Press, number 9780198776192.
    10. Schweizer, Martin, 1992. "Martingale densities for general asset prices," Journal of Mathematical Economics, Elsevier, vol. 21(4), pages 363-378.
    11. 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.
    12. 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, July.
    13. Hindy, Ayman, 1995. "Viable prices in financial markets with solvency constraints," Journal of Mathematical Economics, Elsevier, vol. 24(2), pages 105-135.
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    Citations

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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, April.
    2. Anderson, Robert M. & Raimondo, Roberto C., 2007. "Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets," Department of Economics, Working Paper Series qt0zq6v5gd, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    3. Abraham Lioui, 2005. "Stochastic dividend yields and derivatives pricing in complete markets," Review of Derivatives Research, Springer, vol. 8(3), pages 151-175, December.
    4. Lars Tyge Nielsen, 2019. "Instantaneous Arbitrage and the CAPM," Papers 1901.05113, arXiv.org.

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    Keywords

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    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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