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~person:"Herzberg, Frederik"
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Search: subject:"Continuous Time"
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Continuous-time financial market
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Continuous-time financial markets
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Derivative pricing
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Herzberg, Frederik
Guo, Xianping
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Prieto-Rumeau, Tomás
7
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Hernández-Lerma, Onésimo
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Scalas, Enrico
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First steps towards an equilibrium theory for Lévy financial markets
Herzberg, Frederik
- In:
Annals of Finance
9
(
2013
)
3
,
pp. 543-572
For a
continuous-time
financial market with a single agent, we establish equilibrium pricing formulae under the …
Persistent link: https://www.econbiz.de/10010866549
Saved in:
2
Existence of financial equilibria in
continuous
time
with potentially complete markets
Riedel, Frank
;
Herzberg, Frederik
- In:
Journal of Mathematical Economics
49
(
2013
)
5
,
pp. 398-404
We prove that in smooth Markovian
continuous-time
economies with potentially complete asset markets, Radner equilibria …
Persistent link: https://www.econbiz.de/10010875283
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