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Discussion: The Recent Reappearance of the Homotheticity Restriction on Preferences

✍ Scribed by William A. Barnett

Book ID: 124697044
Publisher: American Statistical Association
Year: 1983
Tongue: English
Weight: 219 KB
Volume: 1
Category: Article
ISSN: 0735-0015
DOI: 10.2307/1391340

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## Abstract This article develops a discrete‐time, risk‐neutral valuation relation (RNVR) for the pricing of contingent claims when preferences in the economy are characterized by decreasing absolute risk aversion and the marginal distribution of the underlying is an inverse coshnormal. The RNVR is