We thank two anonymous referees and the associate editor for valuable comments. We have also benefited from discussions with Ravi Bansal, Tim Bollerslev, Xin Huang, George Tauchen, Stanley Zin, and seminar participants at University of Washington, the Lijiang Mathematical Finance workshop and the Duke Financial Econometrics workshop.
AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS
Article first published online: 19 SEP 2008
© Copyright the Authors. Journal Compilation © 2008 Wiley Periodicals, Inc.
Volume 18, Issue 4, pages 519–543, October 2008
How to Cite
Eraker, B. and Shaliastovich, I. (2008), AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS. Mathematical Finance, 18: 519–543. doi: 10.1111/j.1467-9965.2008.00346.x
- Issue published online: 19 SEP 2008
- Article first published online: 19 SEP 2008
- Manuscript received October 2006; final revision received March 2007.
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