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We consider a class of generalized capital asset pricing models in continuoustime with a finite number of agents and tradable securities. The securities maynot be sufficient to span all sources of uncertainty. If the agents haveexponential utility functions and the individual endowments are spanned by thesecurities, an equilibrium exists and the agents' optimal trading strategiesare constant. Affine processes, and the theory of information-based assetpricing are used to model the endogenous asset price dynamics and the terminalpayoff. The derived semi-explicit pricing formulae are applied to numericallyanalyze the impact of the agents' risk aversion on the implied volatility ofsimultaneously-traded European-style options.

Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models