Pricing derivatives in the presence of shadow costs of incomplete information and short sales

DOI10.1007/s10479-016-2256-7;zbMath1416.91368MaRDI QIDQ1615799

Mondher Bellalah

Publication date: 31 October 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://rd.springer.com/content/pdf/10.1007%2Fs10479-016-2256-7.pdf

zbMATH Keywords

differential equationderivativesincomplete informationpricinginformation costsshort sales costs

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (2)

The supply chain effect of monitoring cost ⋮ Intertemporal optimal portfolio choice based on labor income within shadow costs of incomplete information and short sales

Cites Work

• The Pricing of Options and Corporate Liabilities
• A simple model of corporate international investment under incomplete information and taxes
• A Theory of the Term Structure of Interest Rates
• Information Acquisition and Under-Diversification

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