ASSET PRICING IN MULTIPERIOD SECURITIES MARKETS

被引:21
作者
CHAMBERLAIN, G
机构
关键词
D O I
10.2307/1913098
中图分类号
F [经济];
学科分类号
02 ;
摘要
引用
收藏
页码:1283 / 1300
页数:18
相关论文
共 42 条
[1]  
[Anonymous], 1984, WADSWORTH ADV BOOKS
[2]   PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].
BLACK, F ;
SCHOLES, M .
JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :637-654
[3]   INTERTEMPORAL ASSET PRICING MODEL WITH STOCHASTIC CONSUMPTION AND INVESTMENT OPPORTUNITIES [J].
BREEDEN, DT .
JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (03) :265-296
[4]   PRICES OF STATE-CONTINGENT CLAIMS IMPLICIT IN OPTION PRICES [J].
BREEDEN, DT ;
LITZENBERGER, RH .
JOURNAL OF BUSINESS, 1978, 51 (04) :621-651
[5]  
BROCK WA, 1982, EC INFORMATION UNCER
[6]   ARBITRAGE, FACTOR STRUCTURE, AND MEAN-VARIANCE ANALYSIS ON LARGE ASSET MARKETS [J].
CHAMBERLAIN, G ;
ROTHSCHILD, M .
ECONOMETRICA, 1983, 51 (05) :1281-1304
[7]   FUNDS, FACTORS, AND DIVERSIFICATION IN ARBITRAGE PRICING-MODELS [J].
CHAMBERLAIN, G .
ECONOMETRICA, 1983, 51 (05) :1305-1323
[8]  
Chung K.L., 1983, INTRO STOCHASTIC INT
[9]   A UNIFIED BETA PRICING THEORY [J].
CONNOR, G .
JOURNAL OF ECONOMIC THEORY, 1984, 34 (01) :13-31
[10]   INTERTEMPORAL ASSET PRICING WITH HETEROGENEOUS CONSUMERS AND WITHOUT DEMAND AGGREGATION [J].
CONSTANTINIDES, GM .
JOURNAL OF BUSINESS, 1982, 55 (02) :253-267