Pricing of non-redundant derivatives in a complete market

DOI10.1007/BF01574150zbMath1274.91400OpenAlexW3121794227MaRDI QIDQ375374

Pierre-François Koehl, Elyès Jouini, Abdelhamid Bizid

Publication date: 30 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01574150

zbMATH Keywords

equilibriumderivativesincomplete marketspricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Informational Efficiency under Short Sale Constraints ⋮ Co-monotonicity of optimal investments and the design of structured financial products ⋮ Equilibrium pricing bounds on option prices

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Mean-variance hedging for general claims
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• INCOMPLETE MARKETS AND SHORT-SALES CONSTRAINTS: AN EQUILIBRIUM APPROACH
• Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
• On the Differentiability of the Value Function in Dynamic Models of Economics
• A General Equilibrium Analysis of Option and Stock Market Interactions
• Variance-Optimal Hedging in Discrete Time

This page was built for publication: Pricing of non-redundant derivatives in a complete market