This paper presents a surprising example that shows that the lattice theoretic properties in Mas-Colell's (1986) seminal work are relevant to the existence of equilibrium even when the commodity space is finite dimensional. ...

This paper presents a surprising example that shows that the lattice theoretic properties in Mas-Colell's (1986) seminal work are relevant to the existence of equilibrium even when the commodity space is finite dimensional. ...

Little is known about the economic sources that may generate the abnormal returns observed in put index options. We show that the learning process followed by investors may be one such source. We develop an equilibrium ...

In the last twenty years a large number of competitive ethanol rms have estab- lished operations in the US. Ethanol, produced from corn, is blended with pure gasoline to produce fuel. Producers hold an option to turn o ...

We develop a general equilibrium asset pricing model under incomplete information and rational learning in order to understand the unexplained predictability of option prices. In our model, the fundamental dividend growth ...

This article studies the ability of an N-factor Gaussian model to explain the stochastic behavior of oil futures prices when estimated with the use of all available price information, as opposed to traditional approaches ...

We use learning in an equilibrium model to explain the puzzling predictive power of the volatility risk premium ( V RP) for option returns. In the model, a representative agent fol- lows a rational Bayesian learning process ...

This paper studies recursive exchange economies with short sales. Agents maximize discounted expected utility. The asset structure is general and includes real securities, infinite-lived stocks, options, and other derivatives. ...