Heterogeneous Agents and the Indifference Pricing of Property Index Linked Swaps
Author:
Publisher
Springer Science and Business Media LLC
Subject
Urban Studies,Economics and Econometrics,Finance,Accounting
Link
http://link.springer.com/content/pdf/10.1007/s11146-010-9298-4.pdf
Reference61 articles.
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3. Basak, S., & Croitoru, B. (2000). Equilibrium mispricing in a capital market with portfolio constraints. Review of Financial Studies, 13, 715–748.
4. Basak, S., & Croitoru, B. (2006). On the role of arbitrageurs in rational markets. Journal of Financial Economics, 81, 143–173.
5. Benth, F. E., Cartea, A., & Kiesel, R. (2008). Pricing forward contracts in power markets by the certainty equivalence principle: explaining the sign of the market risk premium. Journal of Banking & Finance, 32, 2006–2021.
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