Blar i Discussion papers (FOR) på emneord "CCAPM"
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The perpetual American put option for jump-diffusions : implications for equity premiums
(Discussion paper, Working paper, 2004-12)In this paper we solve an optimal stopping problem with an infinite time horizon, when the state variable follows a jump-diffusion. Under certain conditions our solution can be interpreted as the price of an American ... -
The equity premium in a production economy; A new perspective involving recursive utility
(Discussion paper;15/15, Working paper, 2015-04-10)We study a rational expectations' competitive equilibrium in a production economy, i.e., a system of prices at which firms' profit maximizing production decisions and individuals' preferred affordable consumption choices ...