On the Consistency of the Lucas Pricing Formula
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- Aase, Knut K, 2005. "On the Consistency of the Lucas Pricing Formula," University of California at Los Angeles, Anderson Graduate School of Management qt6gk6b0xw, Anderson Graduate School of Management, UCLA.
References listed on IDEAS
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"Pricing Options On Risky Assets In A Stochastic Interest Rate Economy,"
World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 15, pages 327-347
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- Kaushik I. Amin & Robert A. Jarrow, 1992. "Pricing Options On Risky Assets In A Stochastic Interest Rate Economy," Mathematical Finance, Wiley Blackwell, vol. 2(4), pages 217-237.
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- Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
- 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.
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More about this item
KeywordsExchange economy; state price deflator; discrete time; continuous time; equivalent martingale measure; the Gordon growth model;
- G00 - Financial Economics - - General - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-10-21 (All new papers)
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