The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Mar, 1985, Volume 53, Issue 2
https://doi.org/0012-9682(198503)53:2<363:AIGEMO>2.0.CO;2-D
p. 363-384
John C. Cox, Jonathan E. Ingersoll, Jr., Stephen A. Ross
This paper develops a continuous time general equilibrium model of a simple but complete economy and uses it to examine the behavior of asset prices. In this model, asset prices and their stochastic properties are determined endogenously. One principal result is a partial differential equation which asset prices must satisfy. The solution of this equation gives the equilibrium price of any asset in terms of the underlying real variables in the economy.
