Dividends in the theory of derivative securities pricing
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DOI: 10.1007/s00199-006-0106-6
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References listed on IDEAS
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Cited by:
- Anderson, Robert M. & Raimondo, Roberto C., 2007. "Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets," Department of Economics, Working Paper Series qt0zq6v5gd, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Knut K. Aase, 2008.
"On The Consistency Of The Lucas Pricing Formula,"
Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 293-303, April.
- Aase, Knut K., 2005. "On the Consistency of the Lucas Pricing Formula," Discussion Papers 2005/9, Norwegian School of Economics, Department of Business and Management Science.
- Aase, Knut K, 2005. "On the Consistency of the Lucas Pricing Formula," University of California at Los Angeles, Anderson Graduate School of Management qt6gk6b0xw, Anderson Graduate School of Management, UCLA.
- Abraham Lioui, 2005. "Stochastic dividend yields and derivatives pricing in complete markets," Review of Derivatives Research, Springer, vol. 8(3), pages 151-175, December.
- Lars Tyge Nielsen, 2019. "Instantaneous Arbitrage and the CAPM," Papers 1901.05113, arXiv.org.
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More about this item
Keywords
Dividend; Cumulative dividend process; Derivative security; Unit of account; Martingale valuation; G10; G13;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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