Economy with Background Risk, Journal of Economic Theory 82, 89-
109.
[12] Franke, Ghnter; Stapleton, Richard C. and Subrahmanyam, Marti G.
(1999), When are Options Overpriced? The Black-Scholes Model and
Alternative Characterisations of the Pricing Kernel, European Finance
Review 3(1), 79-102.
[13] Ghysels, Eric; Harvey, Andrew C. and Renault, Eric (1996), Stochastic
Volatility, in: Handbook of Statistics, Vol. 14, 119-191.
[14] He, Hua and Leland, Hayne (1993), On Equilibrium Asset Price
Processes, Review of Financial Studies, Vol. 6, No. 3, 593-617.
[15] Heston, S. L.; Nandi S. (1997), A Closed-Form GARCH Option Pricing
Model, Working Paper 97-9, Federal Reserve Bank of Atlanta.
[16] Hodges, Stewart and Selby, Michael (1997), The Risk Premium in Trad-
ing Equilibria which Support Black-Scholes Option Pricing, in Michael
Dempster, Stanley Pliska (ed.) Mathematics of Derivative Securities,
Cambridge University Press.
[17] Hodges, Stewart and Carverhill, Andrew (1993), Quasi Mean Reversion
in an Efficient Stock Market: The Characterisation of Economic Equi-
libria which Support Black-Scholes Option Pricing, Economic Journal
103, 395-405.
[18] Hull, John C. and White, Alan (1987), The pricing of Options with
Stochastic Volatilities, Journal of Finance 42, 281-300.
[19] Huang, Chi-Fu (1985), Information Structure and Equilibrium Asset
Prices, Journal of Economic Theory 35, 33-71.
[20] Jackwerth, Jens Carsten and Rubistein, Mark (1996), Recovering Prob-
ability Distributions from Contemporaneous Security Prices, Journal of
Finance, 51, 1611-1631.
[21] Karatzas, Ioannis and Shreve, Steven E. (1999), Brownian Motion and
Stochastic Calculus, Second Edition, Springer.
[22] Karatzas, Ioannis and Shreve, Steven E. (1998), Methods of Mathemat-
ical Finance, Springer.
26