Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices
NBER Working Paper No. 13430
---- Acknowledgements ----
Konstantin Milbradt and Oleg Rytchkov provided very good research assistance. For helpful conversations, I thank Marco Avellaneda, John Campbell, Peter Carr, Sylvain Champonnois, George Constantinides, John Cox, Greg Duffee, Darrell Duffie, Pierre Collin-Dufresne, Alex Edmans, Ralph Koijen, Francis Longstaff, Sydney Ludvigson, Antonio Mele, Lasse Pedersen, Monika Piazzesi, José Scheinkman, Pietro Veronesi (a discussant), and seminar participants at Carnegie-Mellon, MIT, NYU, Princeton, Urbana-Champaign, and the NBER. I thank the NSF for support. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.