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Valuation of assets on a markov state space |
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| Authors: | Uri Dothan Joseph T. Williams |
| Affiliation: | Graduate School of Management, Northwestern University, Evanston, IL 60201, USA |
| Abstract: | In the absence of opportunities for arbitrage, a very general valuation equation is derived for risky assets. This derivation exploits the linear operators associated with the transition probabilities of the state process. |
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