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MENKUL KIYMETLER PİYASASINDA SÜREKLİ FİYAT SÜREÇLERİ ÜZERİNE

Year 1996, Volume: 1 Issue: 4, 147 - 151, 10.01.1996
https://doi.org/10.14783/maruoneri.713011

Abstract

Sürekli zamanlı fınans modellerinin çoğunda,
menkul kıymet fiyat sürecinin sürekli olduğu piyasanın
ise işlem maliyetsiz ve sürekli ticaret fırsatlarının varlığı
kabul edilir.
Genelde bu piyasa karakteristiklerinin, seçilen
stokastik süreçten bağımsız olduğu varsayılır. Bu
çalışmada, ticaretin sürekli ve işlemlerin maliyetsiz
olduğu bir piyasada, sürekli yörüngeli süreçleri
kullanarak, dengeyi mümkün kılan stokastik süreç
sınıfını araştırıyoruz.

References

  • [1] -Breeden D.F. 1979, A iııtertemponel asset pricing model vvith stochastic consumption and investment opportuniîies, Journal of Financial Economics 7; 265-96.
  • [2] -Hodges, S.Dand Schaefer, S.M. 1974, on the interpretation of the geometric mean: A comrnent, Journal of Financial and Qııantitative Analysis 9: 497-507.
  • [3] -Merton, R.C., 1973 a An intertemporal Capital asset pricing model, Econometrica, 41, 867-88.
  • [4] -Bartle, R.G..1976, Elements of Real Analysis 2,ed. Newyork: Wiley.
  • [5] -Hardy, G.H., Little wood, J.E. and. Polya, G. 1959. tnequatities 2d ed. Cambridge.
  • [6] -Horrison. J.M and Kreps, D., 1979, Martingales and arbitrage in multiperiot securities markets, Journal of Economic, Theory 20, 381-408.
  • [7] -Royden, E, 1963, Real Analysis, 2d ed. Newyork; Macmillian.
  • [8] -Cox.j. Ingersoll, J. and Ross, s., 1985 An intertemporal general equilibrium model of asset prices. Econometrica 53. 363-374.
  • [9] -Dellacherie, C. and Meyer, P.A., 1982, Probabiîities and Potential B, Amsterdam.
  • [10] -DufFıe, D. 1988, Security markets: Stochastic models, Academia Press, Boston.
  • [11]-Rao, M., 1987, Measure theory and integration, John Wiley, Newyork.
  • [12] -Ross, S. 1977, Retum, riskond Arbitrage, in: I.Friend and J. Bicksler ads. Risk and Retum in Fiııance. Balinger, Cambridge, MA, 189-218.
  • [13] -Sethi, S. 1984, A no te on a simplefıed aproach to the valuation of risky streams. operations Research Letterss 3, 13-17.
Year 1996, Volume: 1 Issue: 4, 147 - 151, 10.01.1996
https://doi.org/10.14783/maruoneri.713011

Abstract

References

  • [1] -Breeden D.F. 1979, A iııtertemponel asset pricing model vvith stochastic consumption and investment opportuniîies, Journal of Financial Economics 7; 265-96.
  • [2] -Hodges, S.Dand Schaefer, S.M. 1974, on the interpretation of the geometric mean: A comrnent, Journal of Financial and Qııantitative Analysis 9: 497-507.
  • [3] -Merton, R.C., 1973 a An intertemporal Capital asset pricing model, Econometrica, 41, 867-88.
  • [4] -Bartle, R.G..1976, Elements of Real Analysis 2,ed. Newyork: Wiley.
  • [5] -Hardy, G.H., Little wood, J.E. and. Polya, G. 1959. tnequatities 2d ed. Cambridge.
  • [6] -Horrison. J.M and Kreps, D., 1979, Martingales and arbitrage in multiperiot securities markets, Journal of Economic, Theory 20, 381-408.
  • [7] -Royden, E, 1963, Real Analysis, 2d ed. Newyork; Macmillian.
  • [8] -Cox.j. Ingersoll, J. and Ross, s., 1985 An intertemporal general equilibrium model of asset prices. Econometrica 53. 363-374.
  • [9] -Dellacherie, C. and Meyer, P.A., 1982, Probabiîities and Potential B, Amsterdam.
  • [10] -DufFıe, D. 1988, Security markets: Stochastic models, Academia Press, Boston.
  • [11]-Rao, M., 1987, Measure theory and integration, John Wiley, Newyork.
  • [12] -Ross, S. 1977, Retum, riskond Arbitrage, in: I.Friend and J. Bicksler ads. Risk and Retum in Fiııance. Balinger, Cambridge, MA, 189-218.
  • [13] -Sethi, S. 1984, A no te on a simplefıed aproach to the valuation of risky streams. operations Research Letterss 3, 13-17.
There are 13 citations in total.

Details

Primary Language Turkish
Journal Section Eski Sayılar
Authors

Ömer Önalan This is me

Publication Date January 10, 1996
Published in Issue Year 1996 Volume: 1 Issue: 4

Cite

APA Önalan, Ö. (1996). MENKUL KIYMETLER PİYASASINDA SÜREKLİ FİYAT SÜREÇLERİ ÜZERİNE. Öneri Dergisi, 1(4), 147-151. https://doi.org/10.14783/maruoneri.713011

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Marmara UniversityInstitute of Social Sciences

Göztepe Kampüsü Enstitüler Binası Kat:5 34722  Kadıköy/İstanbul

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