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Continuous-time security pricing : A utility gradient approach

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Author Info
Duffie, Darrell
Skiadas, Costis
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Article provided by Elsevier in its journal Journal of Mathematical Economics.

Volume (Year): 23 (1994)
Issue (Month): 2 (March)
Pages: 107-131
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Handle: RePEc:eee:mateco:v:23:y:1994:i:2:p:107-131

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  2. Frank Riedel, 2004. "Heterogeneous time preferences and interest rates--the preferred habitat theory revisited," European Journal of Finance, Taylor and Francis Journals, vol. 10(1), pages 3-22, February. [Downloadable!] (restricted)
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  3. Michael Kohlmann, 1999. "(Reflected) Backward Stochastic Differential Equations and Contingent Claims," CoFE Discussion Paper 99-10, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  4. A. Berkelaar & R. Kouwenberg, 2000. "Optimal portfolio choice under loss aversion," Econometric Institute Report 187, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  5. Ali Lazrak & Fernando Zapatero, 2002. "Efficient Consumption Set Under Recursive Utility and Unknown Beliefs," Research Paper Series 85, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  6. A. Gamba & P. Pellizzari, 1999. "Utility based pricing of contingent claims," Finance 9902003, EconWPA, revised 14 Oct 2002. [Downloadable!]
  7. Nobuhiro Nakamura, 2005. "Optimal risk transfer and investment policies based upon stochastic differential utilities," Asia-Pacific Financial Markets, Springer, vol. 12(4), pages 375-403, December. [Downloadable!] (restricted)
  8. Peter Bank & Frank Riedel, 1999. "Optimal Consumption Choice under Uncertainty with Intertemporal Substitution," GE, Growth, Math methods 9908002, EconWPA. [Downloadable!]
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  9. Mark Fisher & Christian Gilles, 1998. "Consumption and asset prices and recursive preferences," Finance and Economics Discussion Series 1998-40, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  10. Ju, Nengjiu & Miao, Jianjun, 2009. "Ambiguity, Learning, and Asset Returns," MPRA Paper 14737, University Library of Munich, Germany, revised Apr 2009. [Downloadable!]
  11. Mark Fisher, 1999. "Consumption and asset prices with recursive preferences: Continuous-time approximations to discrete-time models," Working Paper 99-18, Federal Reserve Bank of Atlanta. [Downloadable!]
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