Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56695
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dc.contributor.authorHorst, Ulrichen_US
dc.contributor.authorKupper, Michaelen_US
dc.contributor.authorMacrina, Andreaen_US
dc.contributor.authorMainberger, Christophen_US
dc.date.accessioned2011-11-29en_US
dc.date.accessioned2012-04-05T16:19:21Z-
dc.date.available2012-04-05T16:19:21Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/56695-
dc.description.abstractWe consider a full equilibrium model in continuous time comprising a finite number of agents and tradable securities.We show that, if the agents' endowments are spanned by the securities and if the agents have entropic utilities, an equilibrium exists and the agents' optimal trading strategies are constant. Affine processes, and the theory of information-based asset pricing are used to model the endogenous asset price dynamics and the terminal payoff. Semi-explicit pricing formulae are obtained and applied to numerically analyze the impact of the agents' risk aversion on the implied volatility of simultaneously-traded European-style options.en_US
dc.language.isoengen_US
dc.publisher|aSFB 649, Economic Risk |cBerlinen_US
dc.relation.ispartofseries|aSFB 649 discussion paper |x2011-082en_US
dc.subject.jelC62en_US
dc.subject.jelD52en_US
dc.subject.jelD53en_US
dc.subject.ddc330en_US
dc.subject.keywordcontinuous-time equilibriumen_US
dc.subject.keywordCAPMen_US
dc.subject.keywordaffine processesen_US
dc.subject.keywordinformation-based asset pricingen_US
dc.subject.keywordimplied volatilityen_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwKapitalmarkttheorieen_US
dc.subject.stwWertpapierhandelen_US
dc.subject.stwGleichgewichten_US
dc.subject.stwCapital Asset Pricing Modelen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwTheorieen_US
dc.titleContinuous equilibrium under base preferences and attainable initial endowmentsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn675479193en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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