Incomplete financial markets and jumps in asset prices
From MaRDI portal
Publication:324352
DOI10.1007/s00199-015-0884-9zbMath1367.91106OpenAlexW1489953298MaRDI QIDQ324352
Tobias Markeprand, Hervé Crès, Mich Tvede
Publication date: 11 October 2016
Published in: Economic Theory (Search for Journal in Brave)
Full work available at URL: https://ueaeprints.uea.ac.uk/id/eprint/63377/1/jump.pdf
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (1)
Cites Work
- Unnamed Item
- Consumption dynamics in general equilibrium: a characterisation when markets are incomplete
- Effectively complete equilibria -- A note
- Indeterminacy in incomplete market economies
- Multiplicity of equilibria
- Smooth infinite economies
- Generic inefficiency of equilibria in the general equilibrium model with incomplete asset markets and infinite time
- The existence of security market equilibrium with a non-atomic state space
- Multifrequency jump-diffusions: An equilibrium approach
- Excess price volatility and financial innovation
- Regular Infinite Economies
- INFINITE HORIZON INCOMPLETE MARKETS WITH A CONTINUUM OF STATES
- Option pricing when underlying stock returns are discontinuous
- Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets
- Incomplete markets and volatility
This page was built for publication: Incomplete financial markets and jumps in asset prices
