A CONTINUOUS-TIME EQUILIBRIUM-MODEL OF FORWARD PRICES AND FUTURES PRICES IN A MULTIGOOD ECONOMY

被引：128

作者：

RICHARD, SF ^{[1
]}

SUNDARESAN, M ^{[1
]}

机构：

[1] COLUMBIA UNIV,NEW YORK,NY 10027

来源：

关键词：

D O I：

10.1016/0304-405X(81)90003-9

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：347 / 371

页数：25

共 27 条

[1]

[Anonymous], 1975, STOCHASTIC DIFFERENT

[2]

BLACK F, 1976, J FINANCIAL EC, V3

[3]

BLACK F, 1973, J POLITICAL EC, V3

[4]

BREEDEN DT, 1980, J FINANCE PAPERS P, V2

[5]

BREEDEN DT, 1979, J FINANCIAL EC, V7

[6]

Brock W., 1978, ASSET PRICES PRODUCT

[7] THE RELATION BETWEEN FORWARD PRICES AND FUTURES PRICES [J].

COX, JC ;

INGERSOLL, JE ;

ROSS, SA .

[8]

COX JC, 1978, 468 STANF U GRAD SCH

[9]

COX JC, 1977, THEORY TERM STRUCTUR

[10]

Fleming W.H., 1975, DETERMINISTIC STOCHA