Volume no :9, Issue no: 1, -2 May and June 2011

Journal of Mathematical Sciences: Advances and Applications

THE WELL-POSEDNESS OF SOLUTIONS FOR A NONLINEAR GENERALIZED ASSET PRICING MODEL

Author's: SHAN WANG, SHAOYONG LAI, XIANGYU ZHANG and YUE ZHONG
Pages: [39] - [48]
Received Date: Received June 12, 2011
Submitted by:

Abstract

This paper provides the derivation of the nonlinear integral equation for a generalized asset pricing model, which yields an analytic price-dividend function of one state variable. Under some assumptions and using the fixed point theorem, the existence and uniqueness of the price-dividend function, which is the solution of the integral equation, are investigated.

Keywords

nonlinearity, asset pricing model, well-posedness.