Journal article

Equilibrium Equity Premium in a Semi Martingale Market When Jump Amplitudes Follow a Binomial Distribution


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Publication Details

Author list: Mukupa G, Offen E

Publisher: Scientific Research

Publication year: 2018

Volume number: 8

Issue number: 3

Start page: 599

End page: 612

Number of pages: 14

ISSN: 2162-2434

eISSN: 2162-2442

URL: https://www.scirp.org/journal/paperinformation.aspx?paperid=86747

Languages: English



This paper studies equilibrium equity premium in a semi martingale market when jump amplitudes follow a binomial distribution. We take n to be the number of times. An investor is trading in this market with p being the probability that there is a shift in the price at the trading time t . We find significant variations in the equilibrium equity premium for the martingale and semi martingale markets in terms of wealth value, volatility and other parameters under study. In this market, the equilibrium equity premium remains constant regardless of volatility and wealth value.


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Last updated on 2022-29-11 at 11:35