Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty

Author:

Bardhan Indrajit,Chao Xiuli

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference24 articles.

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2. Pricing options on securities with discontinuous returns;Bardhan;Stochastic Processes and Their Applications,1993

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1. Rare event risk and emerging market debt with heterogeneous beliefs;Journal of International Money and Finance;2013-03

2. Rare Event Risk and Heterogeneous Beliefs: The Case of Incomplete Markets;Journal of Financial and Quantitative Analysis;2011-02-18

3. Rare Event Risk and Emerging Market Debt with Heterogeneous Beliefs;SSRN Electronic Journal;2009

4. The market for crash risk;Journal of Economic Dynamics and Control;2008-07

5. The equilibrium allocation of diffusive and jump risks with heterogeneous agents;Journal of Economic Dynamics and Control;2005-09

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