On the foundations of Lévy finance. Equilibrium for a single-agent financial market with jumps

Herzberg F (2008) Working Papers. Institute of Mathematical Economics; 406.
Bielefeld: Universität Bielefeld.

Diskussionspapier | Veröffentlicht | Englisch
 
Download
OA
Autor*in
Herzberg, Frederik
Abstract / Bemerkung
For a continuous-time financial market with a single agent, we establish equilibrium pricing formulae under the assumption that the dividends follow an exponential Lévy process. The agent is allowed to consume a lump at the terminal date; before, only flow consumption is allowed. The agent's utility function is assumed to be additive, defined via strictly increasing, strictly concave smooth felicity functions which are bounded below (thus, many CRRA and CARA utility functions are included). For technical reasons we require that only pathwise continuous trading strategies are permitted in the demand set. The resulting equilibrium prices depend on the agent's risk-aversion through the felicity functions. It turns out that these prices will be the (stochastic) exponential of a Lévy process essentially only if this process is geometric Brownian motion.
Stichworte
Asset pricing; Financial equilibrium; Lévy processes; Representative agent models; Nonstandard analysis
Erscheinungsjahr
2008
Band
406
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2315962

Zitieren

Herzberg F. On the foundations of Lévy finance. Equilibrium for a single-agent financial market with jumps. Working Papers. Institute of Mathematical Economics. Vol 406. Bielefeld: Universität Bielefeld; 2008.
Herzberg, F. (2008). On the foundations of Lévy finance. Equilibrium for a single-agent financial market with jumps (Working Papers. Institute of Mathematical Economics, 406). Bielefeld: Universität Bielefeld.
Herzberg, F. (2008). On the foundations of Lévy finance. Equilibrium for a single-agent financial market with jumps. Working Papers. Institute of Mathematical Economics, 406, Bielefeld: Universität Bielefeld.
Herzberg, F., 2008. On the foundations of Lévy finance. Equilibrium for a single-agent financial market with jumps, Working Papers. Institute of Mathematical Economics, no.406, Bielefeld: Universität Bielefeld.
F. Herzberg, On the foundations of Lévy finance. Equilibrium for a single-agent financial market with jumps, Working Papers. Institute of Mathematical Economics, vol. 406, Bielefeld: Universität Bielefeld, 2008.
Herzberg, F.: On the foundations of Lévy finance. Equilibrium for a single-agent financial market with jumps. Working Papers. Institute of Mathematical Economics, 406. Universität Bielefeld, Bielefeld (2008).
Herzberg, Frederik. On the foundations of Lévy finance. Equilibrium for a single-agent financial market with jumps. Bielefeld: Universität Bielefeld, 2008. Working Papers. Institute of Mathematical Economics. 406.
Alle Dateien verfügbar unter der/den folgenden Lizenz(en):
Copyright Statement:
This Item is protected by copyright and/or related rights. [...]
Volltext(e)
Access Level
OA Open Access
Zuletzt Hochgeladen
2019-09-06T08:57:53Z
MD5 Prüfsumme
088dd87e220f3b420ba22de82c16f0c6

Export

Markieren/ Markierung löschen
Markierte Publikationen

Open Data PUB

Suchen in

Google Scholar