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Keynes was adamant that the assumption of homogeneous outputand capital in macroeconomic theory is inadmissable. His aggregatesupply or Z function is a generalisation of Marshall's ordinarysupply function to take account of heterogeneous output, andis an essential element of the principle of effective demand.The linear Z curve controversy can be attributedto Keynes's desire to demonstrate how his general monetary theoryof value and output encompasses the special case of Classicaltheory, including the marginal productivity theorem. The infamoussecond footnote on pages 55–6 of The General Theory canthereby be fully resolved. 相似文献
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Multivariate binomial approximations for asset prices with nonstationary variance and covariance characteristics 总被引:1,自引:0,他引:1
In this article, we suggest an efficient method of approximatinga general, multivariate log-normal distribution by a multivariatebinomial process. There are two important features of such multivariatedistributions. First, the state variables may have volatilitiesthat change over time. Second, the two or more relevant statevariables involve may covary with each other in a specifiedmanner, with a time-varying covariance structure. We discussthe asymptotic properties of the resulting processes and showhow the methodology can be used to value a complex, multipleexerciseable option whose payoff depends on the prices of twoassets. 相似文献
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In this article we present a new method for pricing and hedgingAmerican options along with an efficient implementation procedure.The proposed method is efficient and accurate in computing bothoption values and various option hedge parameters. We demonstratethe computational accuracy and efficiency of this numericalprocedure in relation to other competing approaches. We alsosuggest how the method can be applied to the case of any Americanoption for which a closed-form solution exists for the correspondingEuropean options. 相似文献
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We document a pattern in the serial dependence of security returnsaround nontrading days. ne correlation of returns the secondday after a week-end or holiday with returns first day afteris unusually low, and in many return series is negative, implyinga reversal of price movements. We also document unusually largepositive return autocorrelations the last day before and thefirst day after weekends and holidays. The pattern has existedin equity returns for over 100 years, and also exists in severalfutures markets, implying that the pattern is robust to alternativemarket microstructures. 相似文献
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Risk aversion and the intertemporal behavior of asset prices 总被引:2,自引:0,他引:2
In this article, we characterize economies in which both cashflows and forward prices follow random walks. We show in thecase of geometric random walks that the preferences of the representativeinvestor are of the constant proportional risk-aversion type.We also show the conditions under which spot prices follow randomwalks and under which the equivalent martingale measure is non-state-dependent. 相似文献
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