Market clearing and derivative pricing

DOI10.1007/S00199-004-0468-6zbMath1111.91014OpenAlexW2027755390MaRDI QIDQ1780152

Roberto C. Raimondo, Robert M. Anderson

Publication date: 7 June 2005

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00199-004-0468-6

zbMATH Keywords

option pricinggeneral equilibriumdynamically incomplete markets

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (5)

Strategies in the principal-agent model ⋮ First steps towards an equilibrium theory for Lévy financial markets ⋮ Dynamically complete markets under Brownian motion ⋮ Multifrequency jump-diffusions: An equilibrium approach ⋮ Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets

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