# Questions tagged [asset-pricing]

The branch of Finance that studies and models how specific assets (such as options, bonds and stocks) are priced.

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### Why do housing and parking cost more in urban than in rural areas, but road access doesn't?

In city centres, land is more expensive than in suburban or rural areas, as land is scarce. Consequentially, housing and parking in cities cost more. However, the same is not true for using the road ...
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Suppose that $q$ is a k-tuple vector of prices for the k assets whose quantities are given by the k-tuple $\theta$. I have just read that in the Radner Sequential Trade Equilibrium (not sure if this ...
110 views

### implied volatility, how to get parameters?

I understand how to calculate volatility and how to calculate call or put price. However I don't understand something about input parameters. For an example. enter link description here At the ...
313 views

### Asset pricing Coursera resources

I am trying to learn John Cochrane's Asset Pricing. I notice there are Coursera resources (link). However, it is not available now. Did anyone try that class before? Does anyone know what's the next ...
1k views

### Apply Ito's Lemma to exponential martingale

$\newcommand{\dd}{\, \mathrm{d}}$ Consider the exponential martingale, $$\xi_t^\lambda = \exp \left\{ - \int_0^t \lambda_s \dd z_s - \frac 12 \int_0^T \lambda_s^2 \dd s \right\},$$ that is used in ...
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### Ex-dividend (Asset Pricing)

I am reading some lecture notes on asset pricing, and they use the term "ex-dividend" price of an asset. I googled and found that ex-dividend means the time between announcement and payment of a ...
301 views

### A question about Lagrange multiplier(when $\lambda=0$)

I need help in a maximization problem(finding the optimal investment portfolio). where $R_s$ and $\Phi$ are $n$ by $1$, with other variables being scalars. $C^s$ is consumption (or wealth) of an ...
128 views

### Show that the dividend price ratio is a ARMA(p, q) process

Let the log dividend growth evolve according to $\Delta d_{t+1} = \epsilon_{d, t+1}$ where $\epsilon_{d, t+1}$ is just white noise. Let the log returns be $r_{t+1} = x_t + y_t + \epsilon_{r, t+1}$ ...
207 views

### Stock pricing with cross ownership

Cross-ownership is a phenomenon where companies own parts of other companies they do business with. An example: Two companies are now involved in the diamond operation, the mining group Anglo-...
43 views

### Terminal and annual surplus distribution in participating life insurance

I consider a participating life insurance contract which is fair if $P_0 = e^{-rT} \mathbb{E}^{\mathbb{Q}}\left[ L(T) \right)$ ($\mathbb{Q}$ denotes the risk-neutral measure), where $P_0$ is the ...
48 views

### Consumption based asset pricing book with Epstein-Zin(-Weil)

Any advice for a book covering consumption based asset pricing in general and in particular also covers non-standard asset pricing models / utility functions such as Epstein-Zin(-Weil)? Besides the ...
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### How startup early valuation influence later funding stages?

Let's suppose that a startup raise his seed round with a 100k funding for 10% equity. The startup has a pre-money valuation of 1M. Let's say that the startup, after 1 year, raise a Series A round. ...
27 views

### Policy rate and the mean of the stochastic discount factor: what is exogenous?

Let us fix the length of one period to be the tenor of the risk-free rate targeted by the central bank, e.g. 1 day. There exists a stochastic discount factor (SDF, a.k.a. pricing kernel). I am ...
55 views

### asset-pricing problem

Consider the utility function $ν(c_1, c_2) = u(c_1) + \beta u(c_2)$, $0 < \beta < 1$, defined for $c_1 ≥0$ and $c2 ≥0$. Assume $ν′(c)>0$ and $ν′′(c)<0$ for all $c>0$ ; if you like, you ...