On Viable Diffusion Price Processes of the Market Portfolio

Author:

BICK AVI

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference28 articles.

1. On the consistency of the Black-Scholes model with a general equilibrium framework;Bick;Journal of Financial and Quantitative Analysis,1987

2. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

3. Prices of state-contingent claims implicit in option prices;Breeden;Journal of Business,1978

4. The pricing of contingent claims in discrete time models;Brennan;Journal of Finance,1979

5. Cox , J. C. C. Huang 1987 Optimal consumption and portfolio prices when asset prices follow a diffusion process, M.I.T. mimeo, to appear in Journal of Economic Theory

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