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Asset Pricing in Discrete Time$
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Asset Pricing in Discrete Time: A Complete Markets Approach

Ser-Huang Poon and Richard Stapleton

Print publication date: 2005

Print ISBN-13: 9780199271443

Published to Oxford Scholarship Online: July 2005

DOI: 10.1093/0199271445.001.0001

ASSET PRICES IN A SINGLE-PERIOD MODEL

Chapter:
(p. 1 ) 1 ASSET PRICES IN A SINGLE-PERIOD MODEL
Source:
Asset Pricing in Discrete Time
Author(s):

Ser-Huang Poon (Contributor Webpage)

Richard Stapleton (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0199271445.003.0001

‘Asset Prices in a Single-period Model’ derives asset prices in a one-period model. The authors derive a version of the Capital Asset Pricing Model (CAPM) using a complete market, state-contingent claims approach. They define the forward pricing kernel and then use the assumption of joint normality of the cash flows and Stein's lemma to establish the CAPM. They then derive the pricing kernel in an equilibrium representative investor model.

Keywords:   Capital Asset Pricing Model (CAPM), complete market, state-contingent claims, forward pricing kernel, Stein's lemma

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