On the foundations of Lévy finance. Equilibrium for a single-agent financial market with jumps
Download full text from publisher
References listed on IDEAS
- Nigel J. Cutland & Ekkehard Kopp & Walter Willinger, 1993. "From Discrete to Continuous Financial Models: New Convergence Results For Option Pricing," Mathematical Finance, Wiley Blackwell, vol. 3(2), pages 101-123.
- Merton, Robert C., 1976.
"Option pricing when underlying stock returns are discontinuous,"
Journal of Financial Economics,
Elsevier, vol. 3(1-2), pages 125-144.
- 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.
- Khan, M. Ali & Sun, Yeneng, 2001.
"Asymptotic Arbitrage and the APT with or without Measure-Theoretic Structures,"
Journal of Economic Theory,
Elsevier, vol. 101(1), pages 222-251, November.
- Khan, A. & Sun, Y., 2000. "Asymptotic Arbitrage and the APT with or Without Measure-Theoretic Structures," Papiers d'Economie MathÃ©matique et Applications 2000.81, UniversitÃ© PanthÃ©on-Sorbonne (Paris 1).
- Magill, Michael & Shafer, Wayne, 1991. "Incomplete markets," Handbook of Mathematical Economics,in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 30, pages 1523-1614 Elsevier.
- Bick, Avi, 1990. " On Viable Diffusion Price Processes of the Market Portfolio," Journal of Finance, American Finance Association, vol. 45(2), pages 673-689, June.
- Herzberg, Frederik, 2011. "Linear hyperfinite Lévy integrals," Center for Mathematical Economics Working Papers 404, Center for Mathematical Economics, Bielefeld University.
- 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 363-384, March.
More about this item
KeywordsAsset pricing; Financial equilibrium; Lévy processes; Representative agent models; Nonstandard analysis;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-02-07 (All new papers)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bie:wpaper:406. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Bettina Weingarten). General contact details of provider: http://edirc.repec.org/data/imbiede.html .