On Intertemporal Preferences With a Continous Time Dimension II: The Case of Uncertainty (Classic Reprint) - Softcover

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Excerpt from On Intertemporal Preferences With a Continous Time Dimension II: The Case of Uncertainty

We also investigate the properties of arbitrage-free price processes for long - lived securities in a dynamic securities market economy where an arbitrage opportunity is defined using concepts of continuity derived from our family of topologies. It is shown that, between lump-sum ex dividend dates, price processes for these securities are continuous except possibly at surprises. In particular, if the information structure is generated by a Brownian motion, then (ex-dividend)

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