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Dividends in the theory of derivative securities pricing


  • Lars Nielsen



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Suggested Citation

  • 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

    1. Duffie, Darrell & Zame, William, 1989. "The Consumption-Based Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 57(6), pages 1279-1297, November.
    2. Hindy, Ayman, 1995. "Viable prices in financial markets with solvency constraints," Journal of Mathematical Economics, Elsevier, vol. 24(2), pages 105-135.
    3. 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.
    4. Schweizer, Martin, 1992. "Martingale densities for general asset prices," Journal of Mathematical Economics, Elsevier, vol. 21(4), pages 363-378.
    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. 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.
    7. 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.
    8. repec:dau:papers:123456789/13604 is not listed on IDEAS
    9. Huang, Chi-fu, 1985. "Information structures and viable price systems," Journal of Mathematical Economics, Elsevier, vol. 14(3), pages 215-240, June.
    10. Nielsen, Lars Tyge, 1999. "Pricing and Hedging of Derivative Securities," OUP Catalogue, Oxford University Press, number 9780198776192, June.
    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.
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    Cited by:

    1. Abraham Lioui, 2005. "Stochastic dividend yields and derivatives pricing in complete markets," Review of Derivatives Research, Springer, vol. 8(3), pages 151-175, December.
    2. Knut K. Aase, 2008. "On The Consistency Of The Lucas Pricing Formula," Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 293-303.

    More about this item


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

    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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