摘要翻译:
本文将一般均衡理论与随机过程一般理论相结合,得到了关于均衡状态价格的结构性结果。
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英文标题:
《On Equilibrium Prices in Continuous Time》
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作者:
V. Filipe Martins-da-Rocha, Frank Riedel
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最新提交年份:
2008
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Pricing of Securities 证券定价
分类描述:Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类:Mathematics 数学
二级分类:Probability 概率
分类描述:Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用:例如中心极限定理,大偏差,随机微分方程,统计力学模型,排队论
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英文摘要:
We combine general equilibrium theory and theorie generale of stochastic processes to derive structural results about equilibrium state prices.
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PDF链接:
https://arxiv.org/pdf/0802.3585