A NOTE ON THE TERMINAL DATE SECURITY PRICES IN A CONTINUOUS-TIME TRADING MODEL WITH DIVIDENDS

被引：4

作者：

OHASHI, K ^{[1
]}

机构：

[1] MIT,CAMBRIDGE,MA 02139

来源：

JOURNAL OF MATHEMATICAL ECONOMICS | 1991年 / 20卷 / 02期

关键词：

D O I：

10.1016/0304-4068(91)90011-H

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We present an example in a continuous time security trading model to show that, when predictable trading strategies are used, conditions to preclude arbitrage need not be sufficient to equate security prices with given dividends at the terminal date. This fact causes difficulty in extending Harrison and Krep's framework to explain determination of security price process in a continuous time security trading model with dividends. Two possible solutions will be given for this technical problem.

引用

页码：219 / 223

页数：5

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