EconStor >
University of Minnesota >
Department of Economics - Center for Economic Research, University of Minnesota >
Minnesota Working Papers, Department of Economics - Center for Economic Research, University of Minnesota >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/23495
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorKusuda, Kojien_US
dc.date.accessioned2009-01-29T16:08:55Z-
dc.date.available2009-01-29T16:08:55Z-
dc.date.issued2003en_US
dc.identifier.urihttp://hdl.handle.net/10419/23495-
dc.description.abstractIn Kusuda [45], we developed equilibrium analysis in security market economy with jump-Wiener information where no finite number of securities can complete markets. Assuming approximately complete markets (Björk et al. [11] [12]) in which a continuum of bonds are traded and any contingent claim can be replicated with an arbitrary precision, we have shown sufficient conditions for the existence of approximate security market equilibrium, in which every agent is allowed to choose any consumption plan that can be supported with any prescribed precision. In this paper, we derive the Consumption-Based Capital Asset Pricing Model (CCAPM) using the framework in case of heterogeneous with additively separable utilities (ASUs) and of homogeneous agents with a common stochastic differential utility (SDU). The CCAPM says that the risk premium between a risky security and the nominal-risk-free security can be decomposed into two groups of terms. One is related to the price uctuation of the risky security, and the other is related to that of commodity. Each group can be further decomposed into two terms related to consumption volatility and consumption jump in case of ASUs, and into three terms related to consumption volatility, continuation utility volatility, and jumps of consumption and continuation utility in case of SDU. Next, we present a general equilibrium framework of jump-diffusion option pricing models in each case of heterogeneous agents with CRRA utilities and of homogeneous agents with a common Kreps-Porteus utility. Finally, we construct a general equilibrium version of an affine jump-diffusion model with jump-diffusion volatility for option pricing using the framework.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesMinnesota working papers / University of Minnesota, Center for Economic Research, Department of Economics 317en_US
dc.subject.jelC63en_US
dc.subject.jelG11en_US
dc.subject.jelG13en_US
dc.subject.jelC61en_US
dc.subject.jelD58en_US
dc.subject.jelD51en_US
dc.subject.ddc330en_US
dc.subject.stwCapital Asset Pricing Modelen_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwStatistische Verteilungen_US
dc.titleConsumption-Based CAPM and Option Pricing under Jump-Diffusion Uncertaintyen_US
dc.typeWorking Paperen_US
dc.identifier.ppn377725684en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Minnesota Working Papers, Department of Economics - Center for Economic Research, University of Minnesota

Files in This Item:
File Description SizeFormat
kusuda317.pdf416.95 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.