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Continuous-time security pricing · Study

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ArticleContinuous-time security pricing

Darrell Duffie1994

Article1994

Continuous-time security pricing

Darrell Duffie · Costis Skiadas

241 citations·0/0 files stored·Journal of Mathematical Economics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

2005Stochastic Integration and Differential Equations 1979Martingales and arbitrage in multiperiod securities markets 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities 1990Habit Formation: A Resolution of the Equity Premium Puzzle 1985An Intertemporal General Equilibrium Model of Asset Prices 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process 1990Stochastic Integration and Differential Equations 1992Stochastic Differential Utility

Cited by

2013Ambiguous Volatility and Asset Pricing in Continuous Time 2010Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure 2003A two-person dynamic equilibrium under ambiguity 2011Explaining asset pricing puzzles associated with the 1987 market crash 2000Continuous‐Time Methods in Finance: A Review and an Assessment 1996On the pricing of contingent claims under constraints

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2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 10 shared references 1992Optimal Consumption‐Portfolio Policies With Habit Formation 1article · 9 shared references 2002Myopic Portfolio Choicechapter · 8 shared references 1998Who Should Buy Long-Term Bonds?chapter · 8 shared references 1995Chapter 1 Portfolio theorychapter · 8 shared references 2002Strategic Asset Allocation in Continuous Timechapter · 8 shared references

Details

Year1994

Typearticle

Published1994-03-01

VenueJournal of Mathematical Economics

ISSN-L0304-4068

Languageen

Citations241

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/0304-4068(94)90001-9

openalex_workW1523509543

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2001A dynamic maximum principle for the optimization of recursive utilities under constraints

2017Good and Bad Variance Premia and Expected Returns