Economics of Continuous-Time Financial Markets and Endogenous Pricing

Grant number: DP1094656 | Funding period: 2010 - 2017

Completed

Abstract

This research has the potential to benefit society by improving the accuracy of pricing in securities markets. First, because the research leads to specific predictions about the interaction of prices for different type of assets, it should lead to more accurate pricing across markets, such as housing, stocks and bonds, which currently function largely independently. Second, it should lead to more accurate pricing of derivatives in the situations where the exercise price of the derivatives differs significantly from the current price of the underlying stock.