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|dc.description.abstract||In Kusuda , we developed equilibrium analysis in security marketeconomy with jump-Wiener information where no finite number of securities cancomplete markets. Assuming approximately complete markets (Björk et al.  )in which a continuum of bonds are traded and any contingent claim can be replicatedwith an arbitrary precision, we have shown sufficient conditions for the existenceof approximate security market equilibrium, in which every agent is allowedto 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 separableutilities (ASUs) and of homogeneous agents with a common stochastic differentialutility (SDU). The CCAPM says that the risk premium between a risky securityand 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 relatedto that of commodity. Each group can be further decomposed into two terms relatedto consumption volatility and consumption jump in case of ASUs, and intothree terms related to consumption volatility, continuation utility volatility, andjumps of consumption and continuation utility in case of SDU. Next, we present ageneral equilibrium framework of jump-diffusion option pricing models in each caseof heterogeneous agents with CRRA utilities and of homogeneous agents with acommon Kreps-Porteus utility. Finally, we construct a general equilibrium versionof an affine jump-diffusion model with jump-diffusion volatility for option pricingusing the framework.||en_US|
|dc.relation.ispartofseries|||aMinnesota working papers / University of Minnesota, Center for Economic Research, Department of Economics |x317||en_US|
|dc.subject.stw||Capital Asset Pricing Model||en_US|
|dc.title||Consumption-Based CAPM and Option Pricing under Jump-Diffusion Uncertainty||en_US|
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