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dc.contributor.authorHorst, Ulrichen
dc.contributor.authorKupper, Michaelen
dc.contributor.authorMacrina, Andreaen
dc.contributor.authorMainberger, Christophen
dc.date.accessioned2011-11-29-
dc.date.accessioned2012-04-05T16:19:21Z-
dc.date.available2012-04-05T16:19:21Z-
dc.date.issued2011-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2011-082en
dc.subject.jelC62en
dc.subject.jelD52en
dc.subject.jelD53en
dc.subject.ddc330en
dc.subject.keywordcontinuous-time equilibriumen
dc.subject.keywordCAPMen
dc.subject.keywordaffine processesen
dc.subject.keywordinformation-based asset pricingen
dc.subject.keywordimplied volatilityen
dc.subject.stwOptionspreistheorieen
dc.subject.stwKapitalmarkttheorieen
dc.subject.stwWertpapierhandelen
dc.subject.stwGleichgewichten
dc.subject.stwCapital Asset Pricing Modelen
dc.subject.stwVolatilitäten
dc.subject.stwTheorieen
dc.titleContinuous equilibrium under base preferences and attainable initial endowments-
dc.typeWorking Paperen
dc.identifier.ppn675479193en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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